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Volatility regime-switching in European exchange rates prior to monetary unification · Study

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ArticleVolatility regime-switching in European exchange rates prior to monetary unification

Bernd Wilfling2008

Article2008

Volatility regime-switching in European exchange rates prior to monetary unification

48 citations·0/0 files stored·Journal of International Money and Finance

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Global Financial Crisis and Policies

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1992ARCH modeling in finance 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1994Autoregressive conditional heteroskedasticity and changes in regime 1996Modeling the conditional distribution of interest rates as a regime-switching process 1991Target Zones and Exchange Rate Dynamics 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?1988Rational-expectations econometric analysis of changes in regime

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2020News sentiment and states of stock return volatility: Evidence from long memory and discrete choice models 2017Does news matter in China’s foreign exchange market? Chinese RMB volatility and public information arrivals 2010Forecasting exchange rates: The multi-state Markov-switching model with smoothing 2010Do individual index futures investors destabilize the underlying spot market?2016Short selling constraints and stock returns volatility: Empirical evidence from the German stock market

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Year2008

Typearticle

Published2008-08-25

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations48

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jimonfin.2008.08.005

openalex_workW2004346122

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2015The frequency of regime switching in financial market volatility