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Volatility regime-switching in European exchange rates prior to monetary unification
16 references·6 citing·33 second hop
Volatility regime-switching in European exchange rates prior to monetary unification (2008)Volatility regime-switching in European e…Measuring Systematic Risk in EMU Government Yield Spreads (2004)Measuring Systematic Risk in …Regime switching in foreign exchange rates: (2000)Regime switching in foreign e…Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility (1997)Markov Switching in GARCH Pro…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A Markov Model of Switching-Regime ARCH (1994)A Markov Model of Switching-R…On biases in the measurement of foreign exchange risk premiums (1993)On biases in the measurement …The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…ARCH modeling in finance (1992)ARCH modeling in financeTarget Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…News sentiment and states of stock return volatility: Evidence from long memory and discrete choice models (2020)News sentiment and states of …Does news matter in China’s foreign exchange market? Chinese RMB volatility and public information arrivals (2017)Does news matter in China’s f…Short selling constraints and stock returns volatility: Empirical evidence from the German stock market (2016)Short selling constraints and…The frequency of regime switching in financial market volatility (2015)The frequency of regime switc…Forecasting exchange rates: The multi-state Markov-switching model with smoothing (2010)Forecasting exchange rates: T…Do individual index futures investors destabilize the underlying spot market? (2010)Do individual index futures i…Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Why Does Stock Market Volatility Change Over Time? (1989)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Empirical exchange rate models of the seventies (1983)How Big Is the Random Walk in GNP? (1988)The Economics of Exchange Rates (2003)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Stock market volatility and the business cycle (1996)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)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)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Volatility and cross correlation across major stock markets (1998)A New Approach to Markov-Switching GARCH Models (2004)No Single Currency Regime is Right for All Countries or At All Times (1999)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1994A Markov Model of Switching-Regime ARCH638 cited
  • 1992The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp623 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 1997Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility375 cited
  • 1993On biases in the measurement of foreign exchange risk premiums275 cited

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2000
Regime switching in foreign exchange rates:
222 cited
  • 2004Measuring Systematic Risk in EMU Government Yield Spreads216 cited
  • Cited by

    • 2020News sentiment and states of stock return volatility: Evidence from long memory and discrete choice models45 cited
    • 2017Does news matter in China’s foreign exchange market? Chinese RMB volatility and public information arrivals41 cited
    • 2010Forecasting exchange rates: The multi-state Markov-switching model with smoothing41 cited
    • 2010Do individual index futures investors destabilize the underlying spot market?39 cited
    • 2016Short selling constraints and stock returns volatility: Empirical evidence from the German stock market29 cited
    • 2015The frequency of regime switching in financial market volatility27 cited