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Exchange rate volatility and volatility asymmetries: an application to finding a natural dollar currency
16 references·1 citing·20 second hop
Exchange rate volatility and volatility asymmetries: an application to finding a natural dollar currency (2006)Exchange rate volatility and volatility a…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The variation of certain speculative prices (1997)The variation of certain spec…The Econometrics of Financial Markets (1997)The Econometrics of Financial…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…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 financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Modelling exchange rate volatility in Zambia (2012)Modelling exchange rate volat…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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1988
A Capital Asset Pricing Model with Time-Varying Covariances
3,145 cited

Cited by

  • 2012Modelling exchange rate volatility in Zambia9 cited