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Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis
BEINE, Michel; LAURENT, Sébastien; LECOURT, Christelle - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010694518
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Central bank interventions and jumps in double long memory models of daily exchange rates
BEINE, Michel; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010695338
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A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
BAUWENS, Luc; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010703610
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Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan
GNABO, Jean-Yves; LAURENT, Sébastien; LECOURT, Christelle - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010703847
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Central bank FOREX interventions assessed using realized moments
BEINE, Michel; LAURENT, Sébastien; PALM, Franz C. - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010704141
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Market risk models for intraday data
GIOT, Pierre - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926245
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An international analysis of earnings, stock prices and Bond yields
DURRE, Alain; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926280
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On the statistical and economic performance of stock return predictive regression models: an international perspective
GIOT, Pierre; PETITJEAN, Mikael - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926497
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IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis
GIOT, Pierre; SCHWIENBACHER, Armin - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926534
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Volatility regimes and liquidity co-movements in cap-based portfolios
BEAUPAIN, Renoud; GIOT, Pierre; PETITJEAN, Mikael - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926554