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Volatility expectations and asymmetric effects of direct interventions in the FX market
16 references·0 citing·37 second hop
Volatility expectations and asymmetric effects of direct interventions in the FX market (2003)Volatility expectations and asymmetric ef…Nonlinear Time Series Models in Empirical Finance (2000)Nonlinear Time Series Models …The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …State-Space Models with Regime Switching (1999)State-Space Models with Regim…7. Regime Switching with Time-Varying Transition Probabilities (1999)7. Regime Switching with Time…Central bank intervention and exchange rate volatility (1998)Central bank intervention and…Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …Specification testing in Markov-switching time-series models (1996)Specification testing in Mark…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Foreign currency option values (1983)Foreign currency option valuesLikelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…The pricing of commodity contracts (1976)The pricing of commodity cont…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Carry Trades and Global Foreign Exchange Volatility (2012)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Stock market volatility and the business cycle (1996)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index (2002)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)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)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Modeling the price dynamics of CO2 emission allowances (2008)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Forecasting Stock Returns (2013)Evolving Post-World War II U.S. Inflation Dynamics (2001)A Manifesto on Psychology as Idiographic Science: Bringing the Person Back Into Scientific Psychology, This Time Forever (2004)
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  • 19997. Regime Switching with Time-Varying Transition Probabilities

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450 cited
  • 1998Central bank intervention and exchange rate volatility441 cited
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