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Central bank interventions and jumps in double long memory models of daily exchange rates
16 references·16 citing·26 second hopsampled
Central bank interventions and jumps in double long memory models of daily exchange rates (2003)Central bank interventions and jumps in d…An Introduction to Long-Memory Time Series Models and Fractional Differencing (2010)An Introduction to Long-Memor…The conditional heteroscedasticity of the yen-dollar exchange rate (1998)The conditional heteroscedast…Central bank intervention and exchange rate volatility (1998)Central bank intervention and…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Analysing inflation by the fractionally integrated ARFIMA-GARCH model (1996)Analysing inflation by the fr…A test for independence based on the correlation dimension (1996)A test for independence based…Long Memory in Foreign-Exchange Rates (1993)Long Memory in Foreign-Exchan…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Asymptotic Theory for ARCH Models: Estimation and Testing (1986)Asymptotic Theory for ARCH Mo…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…The impact of religious practice on stock returns and volatility (2017)The impact of religious pract…Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries (2016)Volatility transmission from …Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010 (2016)Crude oil prices and sectoral…Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism (2016)Causality between oil prices …Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis (2015)Oil volatility shocks and the…Pricing and Inference with Mixtures of Conditionally Normal Processes (2010)Pricing and Inference with Mi…Forecasting volatility with outliers in GARCH models (2008)Forecasting volatility with o…Asymmetric volatility in the foreign exchange markets (2008)Asymmetric volatility in the …The influence of actual and unrequited interventions (2007)The influence of actual and u…Long memory properties in return and volatility: Evidence from the Korean stock market (2007)Long memory properties in ret…Central bank FOREX interventions assessed using realized moments (2007)Central bank FOREX interventi…Central bank authorities' beliefs about foreign exchange intervention (2007)Central bank authorities' bel…Central Bank Authorities' Beliefs about Foreign Exchange Intervention, (2006)Central Bank Authorities' Bel…An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention (2005)An Analysis of Recent Studies…A New Class of Multivariate Skew Densities, with Application to GARCH Models (2002)A New Class of Multivariate S…Modelling skewness dynamics in series of financial data using skewed location-scale distributions (2001)Modelling skewness dynamics i…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)ARCH modeling in finance (1992)Quadratic ARCH Models (1995)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Parametric and Nonparametric Volatility Measurement (2010)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)Long memory processes and fractional integration in econometrics (1996)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1981Fractional Differencing2,720 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1992Inequality Constraints in the Univariate GARCH Model611 cited
  • 1996Analysing inflation by the fractionally integrated ARFIMA-GARCH model557 cited
  • 1986Asymptotic Theory for ARCH Models: Estimation and Testing520 cited
  • 2010An Introduction to Long-Memory Time Series Models and Fractional Differencing464 cited
  • 1998Central bank intervention and exchange rate volatility441 cited
  • 1993

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Long Memory in Foreign-Exchange Rates
359 cited
  • 1998The conditional heteroscedasticity of the yen-dollar exchange rate345 cited
  • Cited by

    • 2015Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis145 cited
    • 2016Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries111 cited
    • 2016Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism93 cited
    • 2016Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 201092 cited
    • 2008Asymmetric volatility in the foreign exchange markets84 cited
    • 2007Long memory properties in return and volatility: Evidence from the Korean stock market80 cited
    • 2007Central bank authorities' beliefs about foreign exchange intervention77 cited
    • 2010Pricing and Inference with Mixtures of Conditionally Normal Processes58 cited
    • 2007Central bank FOREX interventions assessed using realized moments56 cited
    • 2007The influence of actual and unrequited interventions47 cited
    • 2005An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention46 cited
    • 2008Forecasting volatility with outliers in GARCH models43 cited
    • 2017The impact of religious practice on stock returns and volatility42 cited
    • 2006Central Bank Authorities' Beliefs about Foreign Exchange Intervention,37 cited
    • 2002A New Class of Multivariate Skew Densities, with Application to GARCH Models36 cited
    • 2001Modelling skewness dynamics in series of financial data using skewed location-scale distributions30 cited