This paper examines the link between exchange rate volatility and economic fundamentals. In the framework of a multivariate volatility model that allows volatility spillover, we develop a new impulse response analysis to estimate and decompose the simultaneous effect of macroeconomic news...

This paper provides simple approximations for evaluating option prices and implied volatilities under stochastic volatility. Simple recursive formulae are derived that can easily be implemented in spreadsheets. The traditional random walk assumption, dominating in the analysis of financial...

Discovering the preferences and the behaviour of consumers is a key challenge in marketing. Information about such topics can be gathered through surveys in which the respondents must assign a score to a number of items. A strategy based on different latent class models can be used to analyze...

In this article, we put forward a generalization of the Dynamic Conditional Correlation (DCC) Model of Engle (2002). Our model allows for asset-specific correlation sensitivities, which is useful in particular if one aims to summarize a large number of asset returns. We propose two estimation...

This article documents the existence of large structural breaks in the unconditional correlations among the US dollar exchange rates of the British pound, Norwegian krone, Swedish krona, Swiss franc and euro during the period 1994 to 2003. Using the framework of Dynamic Conditional Correlation...