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Exchange rate volatility and the mixture of distribution hypothesis · Study

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ArticleExchange rate volatility and the mixture of distribution hypothesis

Luc Bauwens2005

OA

Articlegreen2005

Exchange rate volatility and the mixture of distribution hypothesis

Luc Bauwens · Dagfinn Rime · Genaro Sucarrat

45 citations·0/0 files stored·Empirical Economics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Market Dynamics and Volatility

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1987The Relation Between Price Changes and Trading Volume: A Survey 2001The Distribution of Realized Exchange Rate Volatility 1983The Price Variability-Volume Relationship on Speculative Markets 1995Dynamic Econometrics 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

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2007Order flows, news, and exchange rate volatility 2010The euro introduction and noneuro currencies 2010General-to-specific modelling of exchange rate volatility: A forecast evaluation 2016An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns

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Year2005

Typearticle

Published2005-10-25

VenueEmpirical Economics

ISSN-L0377-7332

Languageen

Citations45

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s00181-005-0005-x

openalex_workW2032432147

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