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Assessing the volatility of the euro on foreign exchange markets : further empirical evidence and policy implications

Tronzano, Marco - In: Economia internazionale 62 (2009) 1, pp. 103-131

Persistent link: https://www.econbiz.de/10003853999

Modeling and forecasting the volatility of the Nikkei 225 realized volatility using the ARFIMA-GARCH model

Ishida, Isao; Watanabe, Toshiaki - 2009

Persistent link: https://www.econbiz.de/10003854412

Modelling Fiji-US exchange rate volatility

Narayan, Paresh Kumar; Narayan, Seema; Prasad, Arti - In: Applied economics letters 16 (2009) 7/9, pp. 831-834

Persistent link: https://www.econbiz.de/10003855049

Are RiskMetrics forecasts good enough? : evidence from 31 stock markets

McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-124

Persistent link: https://www.econbiz.de/10003880020

On the efficacy of techniques for evaluating multivariate volatility forecasts

Clements, Adam; Doolan, Mark; Hurn, Stan; Becker, Ralf - 2009

Persistent link: https://www.econbiz.de/10003880627

The effects of exchange rate uncertainty on exports

Rahman, Sajjadur; Serletis, Apostolos - In: Journal of macroeconomics 31 (2009) 3, pp. 500-507

Persistent link: https://www.econbiz.de/10003888906

Models for time-varying moments using maximum entropy applied to a generalized measure of volatility

Herrmann, Klaus - 2008

for our method. -- Information Theory ; Maximum Entropy ; GARCH ; Volatility … may be generalized, if we use alternative measures of volatility. We choose one feasible alternative and derive a … generalized volatility model. Applying this model to some exemplary market indices, we are able to give some empirical evidence …

Persistent link: https://www.econbiz.de/10003894706

A two-factor model for electricity prices with dynamic volatility

Schlüter, Stephan - 2009

(2000) is applied but generalised to account for weekly periodicities and time-varying volatility. Eventually we find a …

Persistent link: https://www.econbiz.de/10003894769

Hashing GARCH : a reassessment of volatility forecasting performance

Christodoulakis, George A.; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 227-247). 2007

Persistent link: https://www.econbiz.de/10003872943

Long memory in stochastic volatility

Harvey, Andrew C. - In: Forecasting volatility in the financial markets, (pp. 351-363). 2007

Persistent link: https://www.econbiz.de/10003873010