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The Impact of Central Bank FX Interventions on Currency Components
16 references·1 citing·42 second hopsampled
The Impact of Central Bank FX Interventions on Currency Components (2006)The Impact of Central Bank FX Interventio…Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (2004)Correcting the Errors: Volati…The market microstructure of central bank intervention (2002)The market microstructure of …Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)Official Intervention in the …Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Central bank intervention and exchange rate volatility (1998)Central bank intervention and…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Central bank intervention and the volatility of foreign exchange rates: evidence from the options market (1996)Central bank intervention and…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Alternative models for conditional stock volatility (1990)Alternative models for condit…Alternative Models For Conditional Stock Volatility (1989)Alternative Models For Condit…The role of official intervention (1981)The role of official interven…A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)A Monetary Approach To The Ex…The Evaluation of Economic Forecasts (1969)The Evaluation of Economic Fo…Central Bank Authorities' Beliefs About Foreign Exchange Intervention (2007)Central Bank Authorities' Bel…The Purchasing-Power Parity Doctrine: A Reappraisal (1964)Theoretical Notes on Trade Problems (1964)On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)The Economics of Exchange Rates (2003)The Purchasing Power Parity Debate (2004)The Quarterly Journal of Economics (2024)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)ARCH modeling in finance (1992)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)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)A survey of market practitioners’ views on exchange rate dynamics (2000)Board of Governors of the Federal Reserve System (2001)Oil price shocks, geopolitical risks, and green bond market dynamics (2020)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Forecasting Volatility in Financial Markets: A Review (2003)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)A General Equilibrium Approach To Monetary Theory (1969)Are Government Bonds Net Wealth? (1974)The Science of Monetary Policy: A New Keynesian Perspective (1999)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)Currency momentum strategies (2012)International Liquidity and Exchange Rate Dynamics * (2015)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
  • 2001Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?797 cited
  • 1998Central bank intervention and exchange rate volatility441 cited
  • 2004Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities316 cited
  • 2002The market microstructure of central bank intervention279 cited
  • 1969The Evaluation of Economic Forecasts268 cited
  • 1989Alternative Models For Conditional Stock Volatility256 cited
  • 1981The role of official intervention

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253 cited
  • 1996Central bank intervention and the volatility of foreign exchange rates: evidence from the options market230 cited
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    • 2007Central Bank Authorities' Beliefs About Foreign Exchange Intervention29 cited