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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form

Bos, Charles S.; Shephard, Neil G. - 2004

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …

Persistent link: https://www.econbiz.de/10011334849

Effects of Japanese intervention on yen/dollar exchange rate volatility : a conditional jump dynamics approach

Wan, Jer-Yuh; Kao, Chung-Wei - In: Applied economics letters 17 (2010) 4/6, pp. 367-373

Persistent link: https://www.econbiz.de/10003979494

'Once-in-a-generation' yen volatility in 1998 : fundamentals, intervention, and order flow

Cai, Jun; Cheung, Stephen Y. L.; Lee, Raymond Siu-kuen; … - In: Foreign exchange markets, (pp. 180-200). 2005

Persistent link: https://www.econbiz.de/10003290903

Japanese foreign exchange intervention and the Yen/Dollar exchange rate : a simultaneous equations approach using realized volatility

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

Persistent link: https://www.econbiz.de/10003364632

Japanese foreign exchange intervention and the Yen/Dollar exchange rate : a simultaneous equations approach using realized volatility

Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - 2006

We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate … successful interventions, both in depreciating the yen and in reducing exchange rate volatility. …. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility …

Persistent link: https://www.econbiz.de/10003366054

Official central bank interventions and exchange rate volatility : evidence from a regime-switching analysis

Beine, Michel; Laurent, Sébastien; Lecourt, Christelle - In: European economic review : EER 47 (2003) 5, pp. 891-911

Persistent link: https://www.econbiz.de/10001802776

Intervention strategies and exchange rate volatility : a noise trading perspective

Hung, Juann-huey - In: Journal of international money and finance 16 (1997) 5, pp. 779-793

Persistent link: https://www.econbiz.de/10001235408

Central bank intervention and exchange rate volatility

Dominguez, Kathryn M. - In: Journal of international money and finance 17 (1998) 1, pp. 161-190

Persistent link: https://www.econbiz.de/10001338366

The impact of central bank FX interventions on currency components

Beine, Michel; Bos, Charles S.; Laurent, Sebastian - 2005

in terms of the dynamics of the currency components of the major exchange rates (EUR/USD and YEN/USD) over the period … 1989-2003. We identify the currency components of the mean and the volatility processes of exchange rates using the recent …

Persistent link: https://www.econbiz.de/10011346461

The Impact of Central Bank FX Interventions on Currency Components

Beine, Michel A. R. - 2005

Persistent link: https://www.econbiz.de/10012735941