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An econometric analysis of volatility discovery

Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106

Persistent link: https://www.econbiz.de/10015053535

Nonparametric modelling of financial time series

Heid, Frank - 1998

Persistent link: https://www.econbiz.de/10000668367

Nonparametric modeling in financial time series

Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009

Persistent link: https://www.econbiz.de/10003834268

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

Persistent link: https://www.econbiz.de/10009578026

The relationships among interest rate, exchange rate and stock price : a BEKK- MGARCH approach

Türkyılmaz, Serpil; Balıbey, Mesut - In: International journal of economics, finance and … 1 (2013) 3, pp. 166-174

Persistent link: https://www.econbiz.de/10010251806

Determinants of the CNY/USD exchange rate : a simultaneous-equation model

Hsing, Yu - In: International journal of monetary economics and finance 8 (2015) 3, pp. 274-281

Persistent link: https://www.econbiz.de/10011502648

Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial … Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …

Persistent link: https://www.econbiz.de/10009389845

Time-varying effects of changes in the interest rate and the RMB exchange rate on the stock market of China : evidence from the long-memory TVP-VAR model

Cao, Guangxi - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 230-248

Persistent link: https://www.econbiz.de/10009682499

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873