SStudyAcademic Library

Dashboard Shelves Open access My library Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Regime switching in foreign exchange rates: · Study

ArticleShelves

ArticleRegime switching in foreign exchange rates:

Nicolas P. B. Bollen2000

Article2000

Regime switching in foreign exchange rates:

Nicolas P. B. Bollen · Stephen Gray · Robert E. Whaley

222 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Stochastic processes and financial applications

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 222 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1973Theory of Rational Option Pricing 2005Theory of rational option pricing

Cited by

2007Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 2010Theory and inference for a Markov switching GARCH model 2005Detecting shift-contagion in currency and bond markets 2002Forecasting and trading currency volatility: an application of recurrent neural regression and model combination 2002Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 2005Exchange Rates and Markov Switching Dynamics 2009Structural Breaks in Financial Time Series 2012Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors

Details

Year2000

Typearticle

Published2000-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations222

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/s0304-4076(99)00022-6

openalex_workW1514937862

Links

Imported from OpenAlex (CC0) — nothing here is generated.