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Conditional covariances and direct central bank interventions in the foreign exchange markets
16 references·9 citing·36 second hop
Conditional covariances and direct central bank interventions in the foreign exchange markets (2003)Conditional covariances and direct centra…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The market microstructure of central bank intervention (2002)The market microstructure of …A Memory-Based Model of Bounded Rationality (2002)A Memory-Based Model of Bound…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)Official Intervention in the …Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…Central bank intervention and exchange rate volatility (1998)Central bank intervention and…Value at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…The econometrics of financial markets (1996)The econometrics of financial…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Does foreign exchange intervention work? (1995)Does foreign exchange interve…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…The role of official intervention (1981)The role of official interven…Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach (2016)Oil price and exchange rate c…The Effectiveness of Foreign Exchange Market Intervention: A Review of Post-2001 Studies on Japan (2014)The Effectiveness of Foreign …Secrecy of Bank of Japan’s Yen intervention: Evidence of efficacy from intra-daily data (2010)Secrecy of Bank of Japan’s Ye…How do exchange rates co-move? A study on the currencies of five inflation-targeting countries (2010)How do exchange rates co-move…Daily effects of foreign exchange intervention: Evidence from official Bank of Canada data (2008)Daily effects of foreign exch…The Impact of Central Bank FX Interventions on Currency Components (2006)The Impact of Central Bank FX…Intraday evidence of efficacy of 1991–2004 Yen intervention by the Bank of Japan (2006)Intraday evidence of efficacy…The impact of central bank intervention on exchange-rate forecast heterogeneity (2005)The impact of central bank in…Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data (2005)Daily Effects of Foreign Exch…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Statistical analysis of cointegration vectors (1988)Scaling of the distribution of fluctuations of financial market indices (1999)Statistical properties of the volatility of price fluctuations (1999)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? 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this work references cited by second hop

References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 1996The econometrics of financial markets886 cited
  • 2001Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?797 cited
  • 2002A Memory-Based Model of Bounded Rationality491 cited
  • 1999The Distribution of Exchange Rate Volatility462 cited
  • 1998Central bank intervention and exchange rate volatility441 cited
  • 2002The market microstructure of central bank intervention279 cited
  • 1995Does foreign exchange intervention work?273 cited

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  • 1981The role of official intervention253 cited
  • Cited by

    • 2016Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach104 cited
    • 2005The impact of central bank intervention on exchange-rate forecast heterogeneity38 cited
    • 2010How do exchange rates co-move? A study on the currencies of five inflation-targeting countries33 cited
    • 2008Daily effects of foreign exchange intervention: Evidence from official Bank of Canada data22 cited
    • 2006Intraday evidence of efficacy of 1991–2004 Yen intervention by the Bank of Japan21 cited
    • 2006The Impact of Central Bank FX Interventions on Currency Components20 cited
    • 2005Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data20 cited
    • 2014The Effectiveness of Foreign Exchange Market Intervention: A Review of Post-2001 Studies on Japan18 cited
    • 2010Secrecy of Bank of Japan’s Yen intervention: Evidence of efficacy from intra-daily data16 cited