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Asymmetric volatility spillovers in deutsche mark exchange rates
16 references·3 citing·37 second hop
Asymmetric volatility spillovers in deutsche mark exchange rates (1998)Asymmetric volatility spillovers in deuts…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…Political Economy and the Changing Global Order (1994)Political Economy and the Cha…Shocking aspects of European monetary integration (1993)Shocking aspects of European …Shocking Aspects of European Monetary Unification (1992)Shocking Aspects of European …No news is good news (1992)No news is good newsIntra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…Modeling Heteroscedasticity in Daily Foreign-Exchange Rates (1989)Modeling Heteroscedasticity i…The advantage of tying one's hands (1988)The advantage of tying one's …Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Time-frequency information transmission among financial markets: evidence from implied volatility (2021)Time-frequency information tr…The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data (2019)The time-frequency co-movemen…Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model (2018)Volatility Behaviour of the F…Rules, discretion and reputation in a model of monetary policy (1983)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)Staggered Prices in a Utility-Maximizing Framework (1996)The Road To Maastricht (1999)Policy Transfer in the European Union: Institutional Isomorphism as a Source of Legitimacy (2000)Global Capital and National Governments (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)The econometrics of financial markets (1996)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)COVID-19 and stock market volatility: An industry level analysis (2020)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)Econometric Analysis of Cross Section and Panel Data (2001)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1992No news is good news1,929 cited
  • 1988The advantage of tying one's hands852 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 1992Shocking Aspects of European Monetary Unification656 cited
  • 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
  • 1993Shocking aspects of European monetary integration566 cited
  • 1989Modeling Heteroscedasticity in Daily Foreign-Exchange Rates505 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates

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489 cited
  • 1994Political Economy and the Changing Global Order424 cited
  • Cited by

    • 2019The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data40 cited
    • 2021Time-frequency information transmission among financial markets: evidence from implied volatility37 cited
    • 2018Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model35 cited