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Equilibrium adjustment, basis risk and risk transmission in spot and forward foreign exchange markets
16 references·1 citing·41 second hop
Equilibrium adjustment, basis risk and risk transmission in spot and forward foreign exchange markets (2001)Equilibrium adjustment, basis risk and ri…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…The long memory of the forward premium (1994)The long memory of the forwar…Cointegration, Fractional Cointegration, and Exchange Rate Dynamics (1994)Cointegration, Fractional Coi…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)A multivariate generalized AR…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…The statistical properties of daily foreign exchange rates: 1974–1983 (1988)The statistical properties of…Testing Rational Expectations and Efficiency in the Foreign Exchange Market (1983)Testing Rational Expectations…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures (2014)Ultra‐High‐Frequency Algorith…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Parametric and Nonparametric Volatility Measurement (2010)The Behavior of Stock-Market Prices (1965)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Statistical aspects of ARCH and stochastic volatility (1996)High dimensional covariance matrix estimation using a factor model (2008)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Modelling the persistence of conditional variances (1986)THE GARCH OPTION PRICING MODEL (1995)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)A Long Memory Property of Stock Market Returns and a New Model (2010)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)Macroeconomics and Reality (1980)A test for constant correlations in a multivariate GARCH model (2000)Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks (2003)Shock and volatility transmission in the oil, US and Gulf equity markets (2005)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited
  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada499 cited
  • 1988The statistical properties of daily foreign exchange rates: 1974–1983432 cited
  • 1994Cointegration, Fractional Cointegration, and Exchange Rate Dynamics363 cited
  • 1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets294 cited
  • 1994The long memory of the forward premium212 cited
  • 1983

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Testing Rational Expectations and Efficiency in the Foreign Exchange Market
182 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada173 cited
  • Cited by

    • 2014Ultra‐High‐Frequency Algorithmic Arbitrage Across International Index Futures22 cited