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Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...

Persistent link: https://www.econbiz.de/10009636551

Stochastic volatility in interest rates and nonlinearity in velocity

Barnett, William A.; Xu, Haiyang - In: The theory of monetary aggregation, (pp. 274-295). 2000

Persistent link: https://www.econbiz.de/10001508715

Can strategic market making explain asset pricing? : A microstructure analysis of the treasury bond market

Massa, Massimo; Simonov, Andrei - 2000

Persistent link: https://www.econbiz.de/10001508934

Determinants of the implied shadow exchange rates from a target zone

Rangvid, Jesper; Sørensen, Carsten - In: Exchange rate policies for small open economies, (pp. 113-151). 1999

Persistent link: https://www.econbiz.de/10001508939

Leverage and the price volatility of equity shares in equilibrium

Drees, Burkhard; Eckwert, Bernhard - In: The quarterly review of economics and finance : journal … 40 (2000) 2, pp. 155-167

Persistent link: https://www.econbiz.de/10001509383

Index option market activity and cash market volatility under different market conditions : an empirical study from Sweden

Hagelin, Niclas - In: Empirical essays on financial markets, firms, and derivates, (pp. 11-41). 2000

Persistent link: https://www.econbiz.de/10001509964

Expiration day effects of index futures and options : evidence from a market with a long settlement period

Alkebäck, Per; Hagelin, Niclas - In: Empirical essays on financial markets, firms, and derivates, (pp. 43-63). 2000

Persistent link: https://www.econbiz.de/10001509968

Testing the empirical performance of stochastic volatility models of the short-term interest rate

Bali, Turan G. - In: Journal of financial and quantitative analysis : JFQA 35 (2000) 2, pp. 191-215

Persistent link: https://www.econbiz.de/10001510057

Modeling financial volatility : extreme observations, nonlinearities and nonstationarities

Barnes, Michelle L. (contributor); … - 2000

Persistent link: https://www.econbiz.de/10001510273

Macroeconomic volatility in general equilibrium

McKibbin, Warwick J. (contributor); … - 1998 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001510408

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