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Chernov, Mikhail - 2015

We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian dollar, the British pound, the Swiss franc, and the Japanese yen. The model...

Persistent link: https://www.econbiz.de/10013037072

Extreme downside risk and financial crises

Harris, Richard D. F.; Nguyen, Linh H.; Stoja, Evarist - 2015

Persistent link: https://www.econbiz.de/10011402719

Effects of economic instability on stock market under different Regimes : MS-GARCH approach

Kayalidere, Koray; Güleç, Tuna Can; Erer, Elif - In: The empirical economics letters : a monthly … 17 (2018) 2, pp. 177-185

Persistent link: https://www.econbiz.de/10011912854

Inference on self-exciting jumps in prices and volatility using high-frequency measures

Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - In: Journal of applied econometrics 32 (2017) 3, pp. 504-532

Persistent link: https://www.econbiz.de/10011694633

Detection of high and low states in stock market returns with MCMC method in a Markov switching model

Rey, Clément; Rey, Serge; Viala, Jean-Renaud - In: Economic modelling 41 (2014), pp. 145-155

Persistent link: https://www.econbiz.de/10010438390

Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China

Wang, Donghua; Ding, Jin; Chu, Guoqing; Xu, Dinghai; … - In: Applied economics 53 (2021) 7, pp. 781-804

Persistent link: https://www.econbiz.de/10012416088

Switching volatility in a nonlinear open economy

Benchimol, Jonathan; Ivashchenko, Sergey - In: Journal of international money and finance 110 (2021), pp. 1-31

Persistent link: https://www.econbiz.de/10012795525

Modelling Stochastic Volatility with Leverage and Jumps : A Simulated Maximum Likelihood Approach via Particle Filtering

Malik, Sheheryar; Pitt, Michael K. - 2011

general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns … provides a feasible basis for undertaking the nontrivial task of model comparison. Furthermore, we introduce new volatility … model, namely SV-GARCH which attempts to bridge the gap between GARCH and stochastic volatility specifications. In nesting …

Persistent link: https://www.econbiz.de/10014185810

Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations

Avdjiev, Stefan - 2013

incorporates stochastic volatility, long-run risks in consumption and dividends, and Epstein-Zin preferences. Utilizing Bayesian …

Persistent link: https://www.econbiz.de/10013094186

Tobin tax and trading volume tightening : a reassessment

Damette, Olivier; Goutte, Stéphane - In: Applied economics 47 (2015) 28/30, pp. 3124-3141

Persistent link: https://www.econbiz.de/10011289358