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Jumps and time-varying correlations in daily foreign exchange rates
16 references·1 citing·18 second hop
Jumps and time-varying correlations in daily foreign exchange rates (2001)Jumps and time-varying correlations in da…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…5 Stochastic volatility (1996)5 Stochastic volatilityMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Predictable Stock Returns: The Role of Small Sample Bias (1993)Predictable Stock Returns: Th…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeModelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…On Jump Processes in the Foreign Exchange and Stock Markets (1988)On Jump Processes in the Fore…Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988)Asset Pricing with a Factor A…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump? (2021)Analytic formulas for futures…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Forecasting Volatility in Financial Markets: A Review (2003)Modeling and Forecasting Realized Volatility (2003)Econometric Analysis of Cross Section and Panel Data (2001)Introductory Econometrics for Finance (2008)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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625 cited
  • 1988Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills587 cited
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    • 2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?28 cited