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Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate

Balaban, Ercan - 1999

Persistent link: https://www.econbiz.de/10001399838

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859

Simultaneity and causality between derivatives trading and spot market volatility in the UK : an empirical investigation

Kyriacou, Kyriacos; Sarno, Lucio - 1998

Persistent link: https://www.econbiz.de/10001586825

Time-varying volatility estimates in option pricing : can superior estimates be obtained?

Brailsford, Timothy J.; Oliver, Barry R. - 1993 - 1. draft

Persistent link: https://www.econbiz.de/10000889671

The macroeconomic effects of inflation uncertainty

Metiu, Norbert; Prieto, Esteban - 2023

The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level …

Persistent link: https://www.econbiz.de/10014436184

Uncertainty and bank wholesale funding

Dinger, Valeriya; Craig, Ben R. - 2013

resulting volatility of bank loan volumes. We argue that since the volume of retail deposits is slow and costly to adjust to …

Persistent link: https://www.econbiz.de/10010192750

Policy design in a model with swings in risk appetite

De Paoli, Bianca; Zabczyk, Pawel - 2012

Persistent link: https://www.econbiz.de/10009671406

International investment positions and exchange rate dynamics

Binder, Michael; Offermanns, Christian J. - 2014

We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...

Persistent link: https://www.econbiz.de/10010414236

International capital flows, external assets and output volatility

Hoffmann, Mathias; Krause, Michael; Tillmann, Peter - 2014

average higher volatility of output growth (1) accumulated higher external assets in the long-run and (2) experienced more …

Persistent link: https://www.econbiz.de/10010433418

On the international dimension of fiscal policy

Benigno, Gianluca (contributor); … - 2009

economy, the introduction of sticky prices can reduce the optimal volatility of taxes. …

Persistent link: https://www.econbiz.de/10003867915