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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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Supplementary Appendix to : The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News
Boudt, Kris - 2017
Persistent link: https://www.econbiz.de/10012951313
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The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News
Boudt, Kris - 2019
We use intraday data to estimate the daily foreign exchange exposure of U.S. multinationals and show that macroeconomic news affects these firms’ foreign exchange exposure. News creates a substantial shift in the joint distribution of stock and exchange rate returns that has both a...
Persistent link: https://www.econbiz.de/10012901450
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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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A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Hansen, Peter Reinhard (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001566773
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A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Hansen, Peter Reinhard; Lunde, Asger - In: Journal of applied econometrics 20 (2005) 7, pp. 873-889
Persistent link: https://www.econbiz.de/10003243445
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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