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Multivariate stochastic volatility models : estimation and a comparison with VGARCH models
Daníelsson, Jón - In: Journal of empirical finance 5 (1998) 2, pp. 155-173
Persistent link: https://www.econbiz.de/10001374884
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Exchange rate determination and inter-market order flow effects
Daníelsson, Jón; Luo, Jinhui; Payne, Richard - In: The European journal of finance 18 (2012) 9/10, pp. 823-840
Persistent link: https://www.econbiz.de/10009691778
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Liquidity determination in an order-driven market
Daníelsson, Jón; Payne, Richard - In: The European journal of finance 18 (2012) 9/10, pp. 799-821
Persistent link: https://www.econbiz.de/10009691779
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Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of empirical finance 18 (2011) 2, pp. 353-367
Persistent link: https://www.econbiz.de/10009301110
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The response of multinationals’ foreign exchange rate exposure to macroeconomic news
Boudt, Kris; Neely, Christopher J.; Sercu, Piet; … - In: Journal of international money and finance 94 (2019), pp. 32-47
Persistent link: https://www.econbiz.de/10012135140
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La persistance des chocs de volatilité sur le marché des changes s'est-elle modifiée depuis le début des années 1980?
Beine, Michel; Laurent, Sébastien - In: Revue économique : revue bimestrielle 51 (2000) 3, pp. 703-711
Persistent link: https://www.econbiz.de/10001504532
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Official central bank interventions and exchange rate volatility : evidence from a regime-switching analysis
Beine, Michel; Laurent, Sébastien; Lecourt, Christelle - In: European economic review : EER 47 (2003) 5, pp. 891-911
Persistent link: https://www.econbiz.de/10001802776
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Structural change and long memory in volatility : new evidence from daily exchange rates
Beine, Michael; Laurent, Sébastien - In: Developments in forecast combination and portfolio choice, (pp. 145-157). 2001
Persistent link: https://www.econbiz.de/10001719131
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Long-run volatility dependencies in intraday data and mixture of normal distributions
Bourbel, Aurélie; Laurent, Sébastien - In: Developments in forecast combination and portfolio choice, (pp. 159-177). 2001
Persistent link: https://www.econbiz.de/10001719133
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Econometric Modeling of Exchange Rate Volatility and Jumps
Erdemlioglu, Deniz - 2012
This chapter reviews the rapid advances in foreign exchange volatility modeling made in the last three decades. Academic researchers have sought to fit the three major characteristics of foreign exchange volatility: intraday periodicity, autocorrelation and discontinuities in prices. Early...
Persistent link: https://www.econbiz.de/10013107841