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Forecasting realized volatility by decomposition
Lanne, Markku (contributor) - 2006
Persistent link: https://www.econbiz.de/10003338294
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Volatility forecasts for the Mexican peso - U.S. dollar exchange rate : an empirical analysis of garch, option implied and composite forecast models
Benavides, Guillermo (contributor) - 2006
Persistent link: https://www.econbiz.de/10003317351
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The impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate : evidence from South Africa
Égert, Balázs - 2009
This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...
Persistent link: https://www.econbiz.de/10003831962
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The relevance of accuracy for the impact of macroeconomic news on volatility
Laakkonen, Helinä; Lanne, Markku - 2009
Persistent link: https://www.econbiz.de/10003836433
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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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Vector Autoregression Model for exchange rate : a study with impulse response functions and variance decomposition
Mukhopadhyay, Chandan Kumar; Maitra, Biswajit - In: Economic issues in SAARC context, (pp. 281-298). 2008
Persistent link: https://www.econbiz.de/10003794397
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Out-of-sample forecasting performance of won/dollar exchange rate return volatility model
Lee, Ho Jin - In: Dae oe gyeong je yeon gu 13 (2009) 1, pp. 57-89
Persistent link: https://www.econbiz.de/10003865914
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A generalized multiscale analysis of the predictive content of Eurodollar implied volatilities
Cardinali, Alessandro - In: International journal of theoretical and applied finance 12 (2009) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10003847543
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Aggregate trading behaviour of technical models and the yen-dollar exchange rate 1976 - 2007
Schulmeister, Stephan - 2008
Persistent link: https://www.econbiz.de/10003852166