Search Results - subject:"Autoregressive conditional heteroskedasticity"

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Whence GARCH? : A preference-based explanation for conditional volatility

McQueen, Grant R.; Vorkink, Keith - In: The review of financial studies 17 (2004) 4, pp. 915-949

Persistent link: https://www.econbiz.de/10002396418

Hedging the currency exposure risk and international asset allocation

Valiani, Shohreh - 2004

Persistent link: https://www.econbiz.de/10002455078

Sources of Mexican equity volatility

Suarez, Dante; Walz, Daniel T.; Walz, Diane - In: Journal of emerging markets 9 (2004) 2, pp. 5-20

Persistent link: https://www.econbiz.de/10002455152

Macroeconomic sources of risk in the term structure

Balfoussia, Chiona; Wickens, Michael R. - 2004

In this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond returns of different maturity and the fundamental...

Persistent link: https://www.econbiz.de/10002464251

Forecasting volatility : a reality check based on option pricing, utility function, value-at-risk, and predictive likelihood

González-Rivera, Gloria; Lee, Tae-hwy; Mishra, Santosh - In: International journal of forecasting 20 (2004) 4, pp. 629-645

Persistent link: https://www.econbiz.de/10002434305

Exchange rate volatility and its impact on the transaction costs of covered interest rate parity

Bhar, Ramprasad; Kim, Suk-Joong; Pham, Toan M. - In: Japan and the world economy : international journal of … 16 (2004) 4, pp. 503-525

Persistent link: https://www.econbiz.de/10002436354

Volatility forecasting : evidence from a fractional integrated asymmetric power ARCH skewed-t model

Degiannakis, Stavros - In: Applied financial economics 14 (2004) 18, pp. 1333-1342

Persistent link: https://www.econbiz.de/10002438260

Spurious and hidden volatility

Carnero, M. Angeles; Peña, Daniel; Ruiz, Esther - 2004 - [Elektronische Ressource], 1. ed.

Persistent link: https://www.econbiz.de/10002440961

Heterogeneity effects from market interventions

Aktas, Nihat; De Bodt, Eric; Levasseur, Michel - In: The European journal of finance 10 (2004) 5, pp. 412-436

Persistent link: https://www.econbiz.de/10002485481

Volatility spillovers in Korean financial markets

Yoon, Ok Ja; Kang, Kyu Ho - In: Economic papers 7 (2004) 2, pp. 88-106

Persistent link: https://www.econbiz.de/10002557881

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