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Exchange Rate Volatility and U. S. Monetary Policy: An ARCH Application
10 references·16 citing·37 second hop
Exchange Rate Volatility and U. S. Monetary Policy: An ARCH Application (1989)Exchange Rate Volatility and U. S. Moneta…The variation of certain speculative prices (1997)The variation of certain spec…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Does the exchange rate follow a random walk? A Monte Carlo study of four tests for a random walk (1986)Does the exchange rate follow…Long- and short-term interest rates in a risky world (1983)Long- and short-term interest…The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement (1982)The Distribution of Foreign E…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…An examination of foreign exchange risk under fixed and floating rate regimes (1977)An examination of foreign exc…Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum (2018)Structural breaks and double …How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process (2013)How do OPEC news and structur…Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab Countries (2012)Modelling Exchange Rate Volat…Structural changes and volatility transmission in crude oil markets (2011)Structural changes and volati…Exchange Rate Volatility, Inflation Uncertainty and Foreign Direct Investment in Nigeria (2010)Exchange Rate Volatility, Inf…Sudden changes in volatility: The case of five central European stock markets (2007)Sudden changes in volatility:…Interest Rate Risk and Equity Values of Life Insurance Companies: A GARCH–M Model (2007)Interest Rate Risk and Equity…Why are stock returns and volatility negatively correlated? (2006)Why are stock returns and vol…VOLATILITY AND CORRELATION FORECASTING (2006)VOLATILITY AND CORRELATION FO…Volatility Forecasting (2005)Volatility ForecastingRe-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance (2005)Re-examining the asymmetric p…Sudden changes in variance and volatility persistence in foreign exchange markets (2003)Sudden changes in variance an…Temporal relationships and dynamic interactions between spot and futures stock markets (1996)Temporal relationships and dy…Detecting volatility changes across the oil sector (1996)Detecting volatility changes …Stochastic trends and jumps in EMS exchange rates (1994)Stochastic trends and jumps i…Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates? (1993)Does Central Bank Interventio…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Behavior of Stock-Market Prices (1965)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Statistical aspects of ARCH and stochastic volatility (1996)High dimensional covariance matrix estimation using a factor model (2008)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Are Government Bonds Net Wealth? (1974)Futures trading and cash market volatility: Stock index and interest rate futures (1988)The Economic Effects of Long-Term Fiscal Discipline (2002)Budget Deficits, National Saving, and Interest Rates (2004)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Market interactions in returns and volatilities between spot and forward shipping freight markets (2003)Price discovery in the hang seng index markets: Index, futures, and the tracker fund (2004)Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets? (2014)The Variation of Certain Speculative Prices (1963)Implications of Nonlinear Dynamics for Financial Risk Management (1993)Modeling asset returns with alternative stable distributions (1993)Methodical Madness: Technical Analysis and the Irrationality of Exchange‐rate Forecasts (1999)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 1982The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement308 cited
  • 1977An examination of foreign exchange risk under fixed and floating rate regimes235 cited
  • 1983Long- and short-term interest rates in a risky world183 cited
  • 1986Does the exchange rate follow a random walk? A Monte Carlo study of four tests for a random walk145 cited

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  • 2006Why are stock returns and volatility negatively correlated?

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109 cited
  • 2005Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance105 cited
  • 2007Sudden changes in volatility: The case of five central European stock markets96 cited
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  • 2012Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab Countries93 cited
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  • 1996Detecting volatility changes across the oil sector88 cited
  • 2006VOLATILITY AND CORRELATION FORECASTING87 cited
  • 1994Stochastic trends and jumps in EMS exchange rates84 cited
  • 2010Exchange Rate Volatility, Inflation Uncertainty and Foreign Direct Investment in Nigeria79 cited
  • 1993Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?79 cited
  • 2011Structural changes and volatility transmission in crude oil markets74 cited
  • 2007Interest Rate Risk and Equity Values of Life Insurance Companies: A GARCH–M Model70 cited