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Foreign Exchange Rates Have Surprising Volatility · Study

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ChapterForeign Exchange Rates Have Surprising Volatility

Peter L. Bossaerts1996

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Chaptergreen1996

Foreign Exchange Rates Have Surprising Volatility

Peter L. Bossaerts · Wolfgang Karl Härdle · Christian Matthias Hafner

24 citations·0/0 files stored·Lecture notes in statistics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

2007Brownian Motion and Stochastic Calculus 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1988Brownian Motion and Stochastic Calculus 1990Alternative models for conditional stock volatility 1997Volatilities of different time resolutions — Analyzing the dynamics of market components 1993Simulated Moments Estimation of Markov Models of Asset Prices 1990Simulated Moments Estimation of Markov Models of Asset Prices 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

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19965 Stochastic volatility 1997Nonparametric methods and option pricing

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19965 Stochastic volatilitychapter · 8 shared references 1996The econometrics of financial marketsarticle · 7 shared references 1994Chapter 49 Arch modelschapter · 6 shared references 2007Volatility modelling and forecasting in financechapter · 6 shared references 1992ARCH modeling in financearticle · 5 shared references 1997Intraday periodicity and volatility persistence in financial marketsarticle · 5 shared references

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Year1996

Typechapter

Published1996-01-01

VenueLecture notes in statistics

ISSN-L0930-0325

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-1-4612-2412-9_5

openalex_workW1572004123

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