SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A cyclical model of exchange rate volatility
16 references·0 citing·39 second hop
A cyclical model of exchange rate volatility (2011)A cyclical model of exchange rate volatil…How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)How Often to Sample a Continu…Alternative models for stock price dynamics (2003)Alternative models for stock …Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…A Closed-Form GARCH Option Valuation Model (2000)A Closed-Form GARCH Option Va…The Band Pass Filter (1999)The Band Pass FilterMeasuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…How Taxing is Corruption on International Investors? (1997)How Taxing is Corruption on I…The predictive ability of several models of exchange rate volatility (1995)The predictive ability of sev…Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series (1995)Measuring Business Cycles App…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)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)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Continuous Auctions and Insider Trading (1985)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Corruption and Growth (1995)INSTITUTIONS AND ECONOMIC PERFORMANCE: CROSS‐COUNTRY TESTS USING ALTERNATIVE INSTITUTIONAL MEASURES (1995)Corruption Around the World (1998)Corruption and Foreign Direct Investment (2002)Analysis of Panel Data (2003)Are corruption and taxation really harmful to growth? Firm level evidence (2006)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Volatility forecast comparison using imperfect volatility proxies (2010)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)Are Technology Improvements Contractionary? (2006)Fiscal Volatility Shocks and Economic Activity (2015)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
this work references cited by second hop

References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series2,829 cited
  • 1997How Taxing is Corruption on International Investors?2,810 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1999The Band Pass Filter1,909 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 2000A Closed-Form GARCH Option Valuation Model972 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
  • 1995Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

729 cited
  • 1995The predictive ability of several models of exchange rate volatility371 cited
  • Cited by

    No citing works inside the corpus for this window.