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Structural breaks in the volatility of macroeconomic and financial data : the rule, not the exception
Beltratti, Andrea; Morana, Claudio - In: Assets, beliefs, and equilibria in economic dynamics : …, (pp. 555-578). 2004
Persistent link: https://www.econbiz.de/10001809552
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Deterministic and stochastic methods for estimation of intra-day seasonal components with high frequency data
Beltratti, Andrea; Morana, Claudio - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 2, pp. 205-234
Persistent link: https://www.econbiz.de/10001603713
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The effects of the introduction of the euro on the volatility of European stock markets
Morana, Claudio; Beltratti, Andrea - In: Journal of banking & finance 26 (2002) 10, pp. 2047-2064
Persistent link: https://www.econbiz.de/10001703472
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Structural change and long-range dependence in volatility of exchange rates : either, neither or both?
Morana, Claudio; Beltratti, Andrea - In: Journal of empirical finance 11 (2004) 5, pp. 629-658
Persistent link: https://www.econbiz.de/10002260298
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Central bank interventions and exchange rates : an analysis with high frequency data
Morana, Claudio; Beltratti, Andrea - In: Journal of international financial markets, … 10 (2000) 3/4, pp. 349-362
Persistent link: https://www.econbiz.de/10001532761
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Structural breaks and common factors in the volatiliy of the Fama-French factor portfolios
Morana, Claudio; Beltratti, Andrea - In: Applied financial economics 16 (2006) 14, pp. 1059-1073
Persistent link: https://www.econbiz.de/10003377864
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Breaks and persistency: macroeconomic causes of stock market volatility
Beltratti, Andrea; Morana, Claudio - In: Journal of econometrics 131 (2006) 1/2, pp. 151-177
Persistent link: https://www.econbiz.de/10003298570
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Comovements in international stock markets
Morana, Claudio; Beltratti, Andrea - In: Journal of international financial markets, … 18 (2008) 1, pp. 31-45
Persistent link: https://www.econbiz.de/10003710300
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Does the stock market affect income distribution? : some empirical evidence for the US
Beltratti, Andrea; Morana, Claudio - In: Applied economics letters 14 (2007) 1/3, pp. 99-104
Persistent link: https://www.econbiz.de/10003448424
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Interventions and Exchange Rates : An Analysis with High Frequency Data
Morana, Claudio; Beltratti, Andrea - 2013
We use high frequency data for the mark/dollar exchange rate for the period 1992-1995 to evaluate the effects of interventions. We estimate an unobserved components model that decomposes volatility into non-stationary and stationary parts. Stationary components in turn are decomposed into...
Persistent link: https://www.econbiz.de/10014061754