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Neglected common factors in exchange rate volatility
16 references·13 citing·26 second hop
Neglected common factors in exchange rate volatility (1994)Neglected common factors in exchange rate…Modelling Financial Time Series (2007)Modelling Financial Time Seri…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…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…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Testing for mutually exciting jumps and financial flights in high frequency data (2017)Testing for mutually exciting…Half-lives of currencies and aggregation bias (2015)Half-lives of currencies and …International money and stock market contingent claims (2010)International money and stock…Commodity currencies and currency commodities (2008)Commodity currencies and curr…The Impact of Central Bank FX Interventions on Currency Components (2006)The Impact of Central Bank FX…Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form (2006)Inference for Adaptive Time S…A Web Of Shocks: Crises Across Asian Real Estate Markets (2006)A Web Of Shocks: Crises Acros…Identifying terms of trade effects in real exchange rate movements: evidence from Asia (2004)Identifying terms of trade ef…CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION (2004)CURRENCY MARKET CONTAGION IN …A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis (2004)A Multifactor Model of Exchan…International Contagion Effects from the Russian Crisis and the Ltcm Near-Collapse (2002)International Contagion Effec…Empirical Studies on Exchange Rate Puzzles and Volatility (1999)Empirical Studies on Exchange…Decomposing exchange rate volatility around the Pacific Rim☆ (1999)Decomposing exchange rate vol…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)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)Immiserizing Growth: A Geometrical Note (1958)Theory of Value (1959)Asset Prices in an Exchange Economy (1978)Trying to Explain Home Bias in Equities and Consumption (1999)The Economics of Exchange Rates (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Econometric Analysis of Cross Section and Panel Data (2001)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Forecasting Volatility in Financial Markets: A Review (2003)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1982Interest rates and currency prices in a two-country world1,256 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
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

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723 cited
  • 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
  • Cited by

    • 2008Commodity currencies and currency commodities108 cited
    • 2006A Web Of Shocks: Crises Across Asian Real Estate Markets66 cited
    • 2006Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form60 cited
    • 2002International Contagion Effects from the Russian Crisis and the Ltcm Near-Collapse57 cited
    • 2004A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis53 cited
    • 1999Decomposing exchange rate volatility around the Pacific Rim☆49 cited
    • 1999Empirical Studies on Exchange Rate Puzzles and Volatility41 cited
    • 2017Testing for mutually exciting jumps and financial flights in high frequency data36 cited
    • 2004CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION34 cited
    • 2010International money and stock market contingent claims29 cited
    • 2015Half-lives of currencies and aggregation bias20 cited
    • 2006The Impact of Central Bank FX Interventions on Currency Components20 cited
    • 2004Identifying terms of trade effects in real exchange rate movements: evidence from Asia15 cited