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Forecasting the volatility of currency exchange rates
12 references·16 citing·36 second hop
Forecasting the volatility of currency exchange rates (1987)Forecasting the volatility of currency ex…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Modelling Financial Time Series. (1987)Modelling Financial Time Seri…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Variances of Security Price Returns Based on High, Low, and Closing Prices (1983)Variances of Security Price R…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Foreign currency option values (1983)Foreign currency option valuesAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…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…Tests for Variance Shift at an Unknown Time Point (1977)Tests for Variance Shift at a…The pricing of commodity contracts (1976)The pricing of commodity cont…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Impact of COVID-19 pandemic on the energy markets (2021)Impact of COVID-19 pandemic o…Time series analysis of Cryptocurrency returns and volatilities (2020)Time series analysis of Crypt…Exchange rate comovements, hedging and volatility spillovers on new EU forex markets (2018)Exchange rate comovements, he…Forecasting crude-oil market volatility: Further evidence with jumps (2017)Forecasting crude-oil market …Volatility persistence in crude oil markets (2013)Volatility persistence in cru…Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab Countries (2012)Modelling Exchange Rate Volat…MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA* (2011)MACROECONOMIC UNCERTAINTY AND…On forecasting daily stock volatility: The role of intraday information and market conditions (2009)On forecasting daily stock vo…Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets (2009)Dynamic Returns Linkages and …The Financial Performance of a Socially Responsible Investment Over Time and a Possible Link with Corporate Social Responsibility (2005)The Financial Performance of …Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate (2004)Comparative forecasting perfo…A Multiple Indicators Model for Volatility Using Intra-Daily Data (2003)A Multiple Indicators Model f…Forecasting daily exchange rate volatility using intraday returns (2001)Forecasting daily exchange ra…Linear and Non-linear (Non-)Forecastability of High-frequency Exchange Rates (1997)Linear and Non-linear (Non-)F…Forecasting volatility in commodity markets (1995)Forecasting volatility in com…Exchange rate risk and transactions costs: Evidence from bid-ask spreads (1987)Exchange rate risk and transa…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Carry Trades and Global Foreign Exchange Volatility (2012)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Volatility forecast comparison using imperfect volatility proxies (2010)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Extreme Value Theory as a Risk Management Tool (1999)A multiple indicators model for volatility using intra-daily data (2005)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1983Foreign currency option values1,078 cited
  • 1987Modelling Financial Time Series.598 cited
  • 1983Variances of Security Price Returns Based on High, Low, and Closing Prices203 cited
  • 1977Tests for Variance Shift at an Unknown Time Point132 cited

Cited by

  • 2005The Financial Performance of a Socially Responsible Investment Over Time and a Possible Link with Corporate Social Responsibility165 cited
  • 2003A Multiple Indicators Model for Volatility Using Intra-Daily Data131 cited
  • 1995Forecasting volatility in commodity markets

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126 cited
  • 2011MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA*112 cited
  • 2001Forecasting daily exchange rate volatility using intraday returns108 cited
  • 2021Impact of COVID-19 pandemic on the energy markets104 cited
  • 1997Linear and Non-linear (Non-)Forecastability of High-frequency Exchange Rates101 cited
  • 2009On forecasting daily stock volatility: The role of intraday information and market conditions100 cited
  • 1987Exchange rate risk and transactions costs: Evidence from bid-ask spreads97 cited
  • 2018Exchange rate comovements, hedging and volatility spillovers on new EU forex markets96 cited
  • 2012Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab Countries93 cited
  • 2013Volatility persistence in crude oil markets86 cited
  • 2017Forecasting crude-oil market volatility: Further evidence with jumps85 cited
  • 2004Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate74 cited
  • 2020Time series analysis of Cryptocurrency returns and volatilities72 cited
  • 2009Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets55 cited