Search Results - subject:"GARCH estimation"

Exchange rate, interest rate and stock market price volatility for value-at-risk analysis

Ahlstedt, Monica - 1997

.Since there turned out to be a great similarity in the univariate estimation results within groups of rates, GARCH estimation on …

Persistent link: https://www.econbiz.de/10012147719

Exchange Rate, Interest Rate and Stock Market Price Volatility for Value-at-Risk Analysis

Ahlstedt, Monica - Suomen Pankki - 1997

. Since there turned out to be a great similarity in the univariate estimation results within groups of rates, GARCH … estimation on pooled data was performed to force the rates within groups into the same model. The estimated models on pooled data …

Persistent link: https://www.econbiz.de/10005207141

Currency futures and currency crises

Röthig, Andreas - Fachbereich Rechts- und Wirtschaftswissenschaften, … - 2004

Since financial derivatives are key instruments for risk taking as well as risk reduction, it is only straightforward to examine their role in currency crises. This paper addresses this issue by investigating the impact of currency futures trading on the underlying exchange rates. After a...

Persistent link: https://www.econbiz.de/10008587213