Search Results - subject:"Generalized autoregressive conditional heteroscedasticity"

Detecting some dynamic properties of the Euro/Dollar exchange rate

Osińska, Magdalena; Matuszewska, Aleksandra - In: International advances in economic research : IAER ; an … 12 (2006) 3, pp. 327-341

Persistent link: https://www.econbiz.de/10003772310

Assessing central bank credibility during the ERM crises : comparing option and spot market-based forecasts

Haas, Markus; Mittnik, Stefan; Mizrach, Bruce Marshall - In: Journal of financial stability 2 (2006) 1, pp. 28-54

Persistent link: https://www.econbiz.de/10003779112

Modelling conditional volatility of risk premia on fixed income instruments

Drakos, Kōnstantinos - In: International economics & finance journal : (IEFJ) 1 (2006) 1, pp. 13-28

Persistent link: https://www.econbiz.de/10003791124

Revisit of the volume versus GARCH effects by univariate and bivariate GARCH models : evidence from US stock markets

Wong, Wing Keung; Penm, Jack H. W.; Qiao, Zhuo - In: International economics & finance journal : (IEFJ) 1 (2006) 1, pp. 47-66

Persistent link: https://www.econbiz.de/10003791143

Modelling conditional volatility of risk premia on fixed income instruments

Drakos, Kōnstantinos - In: International economics & finance journal : (IEFJ) 1 (2006) 2, pp. 313-328

Persistent link: https://www.econbiz.de/10003791229

The information content of treasury bond options concerning future volatility and price jumps

Busch, Thomas (contributor); … - 2006

We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of associated bond options. Recent nonparametric statistical...

Persistent link: https://www.econbiz.de/10003795294