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Bayesian Analysis of Switching Arch Models

Kaufmann, Sylvia; Fruhwirth-Schnatter, Sylvia - 2004

We consider a time series model with autoregressive conditional heteroscedasticity that is subject to changes in regime. The regimes evolve according to a multistate latent Markov switching process with unknown transition probabilities, and it is the constant in the variance process of the...

Persistent link: https://www.econbiz.de/10014115256

Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry

Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51

Persistent link: https://www.econbiz.de/10013490951

Volatility spillovers across financial markets : the role of oil price uncertainty

Lee, Seojin; Kim, Young Min - In: Applied economics letters 30 (2023) 17, pp. 2342-2347

Persistent link: https://www.econbiz.de/10014365776

Bayesian quantile forecasting via the realized hysteretic GARCH model

Chen, Cathy W. S.; Lin, Edward M. H.; Huang, Tara F. J. - In: Journal of forecasting 41 (2022) 7, pp. 1317-1337

Persistent link: https://www.econbiz.de/10013465697

Trading volume, volatility, and GARCH effects int eh South Korean Won/US dollar exchange market : evidence from conditional quantile estimation

Park, Beum-jo - In: The Japanese economic review : the journal of the … 58 (2007) 3, pp. 382-399

Persistent link: https://www.econbiz.de/10003520194

Regime switching, exchange rate volatility and intervention in BRICS currency markets

Das, Suman; Roy, Saikat Sinha - 2020

Persistent link: https://www.econbiz.de/10013361933

Exchange rate uncertainty and FDI inflows : the case of Turkey

Polat, Burçak; Payaslıoğlu, Cem - In: Asia-Pacific journal of accounting & economics : APJAE 23 (2016) 1, pp. 112-129

Persistent link: https://www.econbiz.de/10011437715

The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements

Conrad, Christian A. (contributor); … - 2007

We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …

Persistent link: https://www.econbiz.de/10003763600

A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility

Hillebrand, Eric (contributor); Schnabl, Gunther (contributor) - 2006

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

Persistent link: https://www.econbiz.de/10003337476

Central bank intervention, threshold effects and asymmetric volatility : evidence from the Japanese yen-US dollar foreign exchange market

Suardi, Sandy - In: Economic modelling 25 (2008) 4, pp. 628-642

Persistent link: https://www.econbiz.de/10003791238

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