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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
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Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
Frey, Rüdiger; Stremme, Alexander - 1993
Persistent link: https://www.econbiz.de/10000412479
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The role of stock index derivative products in equity market volatility
Bhatt, Swati - 1987
Persistent link: https://www.econbiz.de/10000082838
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Margin requirements, volatility, and the transitory component of stock prices
Hardouvelis, Gikas A. - 1988
Persistent link: https://www.econbiz.de/10000123777
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Exchange rate movements and international interdependence of stock markets
Bhandari, Jagdeep S.; Genberg, Hans - 1989
Persistent link: https://www.econbiz.de/10000124003
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Explaining current exhaustible resource prices with CAPM
Hartwick, John M.; Yeung, David - 1988
Persistent link: https://www.econbiz.de/10000125029
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Stock index volatility expectations implied by call options premia
Rindell, Krister - 1989
Persistent link: https://www.econbiz.de/10000126342
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On the volatility and efficiency of stock prices
Pesaran, M. Hashem - 1989
Persistent link: https://www.econbiz.de/10000127642
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Volatility in distorted economies : a microfoundation of Keynesian ideas?
Illing, Gerhard - 1990
Persistent link: https://www.econbiz.de/10000130116