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Exchange Rate Regimes and Volatility
15 references·3 citing·35 second hop
Exchange Rate Regimes and Volatility (1993)Exchange Rate Regimes and VolatilityExchange rate regimes and trade prices Does the EMS matter? (1995)Exchange rate regimes and tra…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Fixing Exchange Rates: A Virtual Quest for Fundamentals (1993)Fixing Exchange Rates: A Virt…European Exchange Rate Credibility Before the Fall (1993)European Exchange Rate Credib…Target Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the ERM 1979-1992 (1991)Assessing Target Zone Credibi…THE CASE FOR STABILIZING EXCHANGE RATES (1989)THE CASE FOR STABILIZING EXCH…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Forward and spot exchange rates (1984)Forward and spot exchange rat…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Studies of stock market volatility changes (1976)Studies of stock market volat…Cryptocurrency volatility: A review, synthesis, and research agenda (2024)Cryptocurrency volatility: A …Foreign exchange interventions in Brazil and their impact on volatility: A quantile regression approach (2018)Foreign exchange intervention…THE EFFECTS OF EXCHANGE RATE VOLATILITY ON U.S. IMPORTS: AN EMPIRICAL INVESTIGATION (1998)THE EFFECTS OF EXCHANGE RATE …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Expectations and Exchange Rate Dynamics (1976)Anomalies: Foreign Exchange (1990)The use of technical analysis in the foreign exchange market (1992)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)International Asset Allocation With Regime Shifts (2002)No Single Currency Regime is Right for All Countries or At All Times (1999)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Asymmetric volatility transmission in international stock markets (1995)Stock market volatility and the business cycle (1996)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1976Studies of stock market volatility changes885 cited
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 1993Fixing Exchange Rates: A Virtual Quest for Fundamentals613 cited
  • 1993European Exchange Rate Credibility Before the Fall238 cited
  • 1991Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the ERM 1979-1992126 cited
  • 1989THE CASE FOR STABILIZING EXCHANGE RATES59 cited
  • 1995Exchange rate regimes and trade prices Does the EMS matter?30 cited

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Cited by

  • 2024Cryptocurrency volatility: A review, synthesis, and research agenda38 cited
  • 1998THE EFFECTS OF EXCHANGE RATE VOLATILITY ON U.S. IMPORTS: AN EMPIRICAL INVESTIGATION17 cited
  • 2018Foreign exchange interventions in Brazil and their impact on volatility: A quantile regression approach15 cited