This document has not been cited yet.

1. Abramowitz, M. and Stegun, I. A. (1965). Handbook of Mathematical Functions: with Formulas, Graphs, and Mathematical Tables. New York.: Dover Publications, Inc.
   Paper not yet in RePEc: Add citation now
   

2. Baillie, R. T. and Bollerslev, T. (1989). The Message in Daily Exchange Rates: A Conditional-Variance Tale. Journal of Business and Economic Statistics, 7(3), 297--305.

3. Ball, C. and Torous, W. (1983). A Simplified Jump Process for Common Stock Returns. Journal of Financial and Quantitative Analysis, 18(1), 53-- 65.

4. Bera, A. and Premaratne, G. (2000). Modeling Asymmetry and Excess Kurtosis in Stock Return Data. Technical report, Department of Economics, University of Illinois U. C., Urbana-Champaign, IL.
   Paper not yet in RePEc: Add citation now
   

5. Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307--327.

6. Bollerslev, T. (1987). A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return. The Review of Economics and Statistics, 69, 542--547.

7. Brooks, S. P. and Guidici, P. (1999). Convergence Assessment for Reversible Jump MCMC Simulation. Bayesian Statistics 6. (Bernardo, J. M., Berger, J. O., Dawid, A.P. and Smith, A.F.M., eds.). Oxford University Press, 733-- 742.
   Paper not yet in RePEc: Add citation now
   
8. Carlin, B. P. and Chib, S. (1995). Bayesian Model Choice via Markov Chain Monte Carlo Methods. Journal of the Royal Statistical Society (Ser B), 57(3), 473--484.
   Paper not yet in RePEc: Add citation now
   
9. Copeland, L. S. and Wang, P. (1994). Estimation Daily Seasonality in Foreign Exchange Rate Changes. Journal of Forecasting, 13(6), 519--528.
   Paper not yet in RePEc: Add citation now
   

10. Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of the United Kingdom Inflation. Econometrica, 50(4), 987--1007.

11. Gamerman, D. (1997). Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference. New York: Chapman-Hall.
    Paper not yet in RePEc: Add citation now
    
12. Gelman, Andrew, C., John, S., S., H., and Rubin, D. B. (1995). Bayesian Data Analysis. New York: Chapman-Hall/CRC.
    Paper not yet in RePEc: Add citation now
    
13. Green, P. J. (1995). Reversible Jump Markov Chain Monte Carlo Computation and Bayesian Model Determination. Biometrika, 82(4), 711--732.
    Paper not yet in RePEc: Add citation now
    
14. Harrison, P. J. and Stevens, C. F. (1976). Bayesian Forecasting (with discussion) . Journal of the Royal Statistical Society (Ser B), 38(1), 205--247.
    Paper not yet in RePEc: Add citation now
    
15. Hoeting, J. A., Madigan, David, R., E., A., and Volinsky, C. (1999). Bayesian Modeling Averaging: A Tutorial. (with comments). Statistical Science, 14(4), 382--417.
    Paper not yet in RePEc: Add citation now
    

16. Hsieh, D. A. (1989). Modeling Heteroscedasticity in Daily Foreign-Exchange Rates. Journal of Business and Economic Statistics, 7(3), 307--317.

17. Jaquier, E., Polson, N., and Rossi, P. (1999). Stochastic Volatility: Univariate and Multivariate Extensions. Technical report, Graduate School of Business, The University of Chicago, Chicago, IL.

18. Mengersen, K. L., Robert, C. P., and Chantal, G.-J. (1999). MCMC Convergence Diagnostics: A Reviewww. Bayesian Statistics 6. (Bernardo, J. M., Berger, J. O., Dawid, A.P. and Smith, A.F.M., eds.). Oxford University Press, 415--440.
    Paper not yet in RePEc: Add citation now
    

19. Nagahara, Y. (1999). The PDF and CDF of Pearson Type IV Distribution and the ML Estimation of the Parameters. Statistics and Probability Letters, 43, 251--264.

20. Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New approach. Econometrica, 59(2), 347--370.

21. Nelson, D. B. and Cao, C. Q. (1992). Inequality Constraints in the Univariate GARCH Model. Journal of Business and Economic Statistics, 10(2), 229--235.

22. Poirier, D. J. (1995). Intermediate Statistics and Econometrics: a Comparative Approach. London, England: The MIT Press.

23. Pole, A., West, M., and Harrison, J. (1994). Applied Bayesian Forecasting and Time Series Analysis. New York: Chapman-Hall.
    Paper not yet in RePEc: Add citation now
    
24. Poskitt, D. S. and Tremayne, A. R. (1983). On the Posterior Odds of Time Series Models. Biometrika, 70, 157--162.
    Paper not yet in RePEc: Add citation now
    

25. Vlaar, P. J. G. and Palm, F. C. (1993). The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps. Journal of Business and Economic Statistics, 11(3), 351--360.

26. Vrontos, I. D., Dellaportas, P., and Politis, D. N. (2000). Full Bayesian Inference for GARCH and EGARCH Models. Journal of Business and Economic Statistics, 18(2), 187--198.

27. West, M. and Harrison, P. J. (1997). Bayesian Forecasting and Dynamic Models. Second Ed. New York: Springer-Verlag.
    Paper not yet in RePEc: Add citation now
    

1. Sources of Risk in Currency Returns. (2012). Zviadadze, Irina ; Chernov, Mikhail ; Graveline, Jeremy.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:8745.

   Full description at Econpapers || Download paper

2. Markov switching GARCH models of currency turmoil in southeast Asia. (2007). Scotti, Chiara ; Mariano, Roberto ; Brunetti, Celso ; Augustine H. H. Tan, .
   In: International Finance Discussion Papers.
   RePEc:fip:fedgif:889.

   Full description at Econpapers || Download paper

3. The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing. (2007). Diks, Cees ; Bekiros, Stelios.
   In: CeNDEF Working Papers.
   RePEc:ams:ndfwpp:07-08.

   Full description at Econpapers || Download paper

4. A Yield Curve Perspective on Uncovered Interest Parity. (2006). Krippner, Leo.
   In: Working Papers in Economics.
   RePEc:wai:econwp:06/16.

   Full description at Econpapers || Download paper

5. A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility. (2006). Schnabl, Gunther ; Hillebrand, Eric.
   In: Working Paper Series.
   RePEc:ecb:ecbwps:2006650.

   Full description at Econpapers || Download paper

6. Exchange-rate volatility, exchange-rate disconnect, and the failure of volatility conservation. (2006). Deviatov, Alexei ; Dodonov, Igor.
   In: Working Papers.
   RePEc:cfr:cefirw:w0079.

   Full description at Econpapers || Download paper

7. Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions. (2005). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
   In: Cahiers de recherche.
   RePEc:mtl:montde:2005-04.

   Full description at Econpapers || Download paper

8. Mean and variance causality between the Cyprus Stock Exchange and major equity markets. (2005). Kouretas, Georgios ; Georgiades, Robert ; Constantinou, Eleni ; Kazandjian, Avo.
   In: Money Macro and Finance (MMF) Research Group Conference 2005.
   RePEc:mmf:mmfc05:24.

   Full description at Econpapers || Download paper

9. Mean and variance causality between the Cyprus Stock Exchange and major equity markets. (2005). Kouretas, Georgios ; Georgiades, Robert ; Constantinou, Eleni ; Kazandjian, Avo.
   In: Working Papers.
   RePEc:crt:wpaper:0501.

   Full description at Econpapers || Download paper

10. Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions. (2005). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2005s-03.

    Full description at Econpapers || Download paper

11. Is it really long memory we see in financial returns?. (2004). Mikosch, Thomas.
    In: Econometrics.
    RePEc:wpa:wuwpem:0412002.

    Full description at Econpapers || Download paper

12. The volatility impact of the European monetary system on member and non-member currencies. (2004). Hu, Michael Y. ; Tsoukalas, Christos ; Jiang, Christine X..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:5:p:313-325.

    Full description at Econpapers || Download paper

13. Volatility transmission across the term structure of swap markets: international evidence. (2004). Novales, Alfonso ; Abad, Pilar.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:14:p:1045-1058.

    Full description at Econpapers || Download paper

14. Estimation Risk in Financial Risk Management. (2004). Goncalves, Silvia ; Gonalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-15.

    Full description at Econpapers || Download paper

15. FX volatility forecasts and the informational content of market data for volatility. (2003). Chauvin, Stephane ; Laws, Jason ; Dunis, Christian.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:9:y:2003:i:3:p:242-272.

    Full description at Econpapers || Download paper

16. Stochastic behaviour of Deutsche mark exchange rates within EMS. (2003). Laopodis, Nikiforos.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:665-676.

    Full description at Econpapers || Download paper

17. Markov Switching Garch Models of Currency Crises in Southeast Asia. (2003). Scotti, Chiara ; Mariano, Roberto ; Brunetti, Celso ; Augustine H. H. Tan, .
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-008.

    Full description at Econpapers || Download paper

18. The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection. (2003). Schnabl, Gunther ; Hillebrand, Eric.
    In: Departmental Working Papers.
    RePEc:lsu:lsuwpp:2003-09.

    Full description at Econpapers || Download paper

19. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

    Full description at Econpapers || Download paper

20. Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates. (2001). Kao, Chihwa.
    In: Center for Policy Research Working Papers.
    RePEc:max:cprwps:34.

    Full description at Econpapers || Download paper

21. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics. (2001). Neely, Christopher ; Weller, Paul A..
    In: Working Papers.
    RePEc:fip:fedlwp:2001-009.

    Full description at Econpapers || Download paper

22. Nonparametric density estimation: A comparative study. (2001). Takada, Teruko.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-01c10007.

    Full description at Econpapers || Download paper

23. GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA. (2001). Depken, Craig.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:4:y:2001:n:2:p:313-327.

    Full description at Econpapers || Download paper

24. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

    Full description at Econpapers || Download paper

25. Alternative GARCH in Mean Models: An Application to the Korean Stock Market. (2000). Karanasos, Menelaos ; Kim, J..
    In: Discussion Papers.
    RePEc:yor:yorken:00/25.

    Full description at Econpapers || Download paper

26. An empirical analysis of alternative parametric ARCH models. (2000). Watt, Wing H. ; Yadav, Pradeep K. ; Loudon, Geoffrey F..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:2:p:117-136.

    Full description at Econpapers || Download paper

27. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-19.

    Full description at Econpapers || Download paper

28. Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate. (2000). Rodríguez N., Norberto ; Rodriguez, Norberto.
    In: Borradores de Economia.
    RePEc:bdr:borrec:161.

    Full description at Econpapers || Download paper

29. Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting. (1999). Salih, Aslihan ; Salman, Ferhan.
    In: Working Papers.
    RePEc:tcb:wpaper:9901.

    Full description at Econpapers || Download paper

30. Dynamic futures hedging in currency markets. (1999). Chakraborty, Atreya ; Barkoulas, John.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:5:y:1999:i:4:p:299-314.

    Full description at Econpapers || Download paper

31. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

    Full description at Econpapers || Download paper

32. The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations. (1999). LECOURT, Christelle ; Beine, Michel ; Benassy-Quere, Agnès ; Christine Lecourt Keywords : Exchange rates; offic, .
    In: Working Papers.
    RePEc:cii:cepidt:1999-14.

    Full description at Econpapers || Download paper

33. Exchange rate in transition. (1998). Kočenda, Evžen.
    In: MPRA Paper.
    RePEc:pra:mprapa:32030.

    Full description at Econpapers || Download paper

34. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise. (1998). Wu, Yangru ; Mark, Nelson.
    In: Working Papers.
    RePEc:osu:osuewp:98-05.

    Full description at Econpapers || Download paper

35. Target zones and conditional volatility: the role of realignments. (1998). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:1994-008.

    Full description at Econpapers || Download paper

36. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts. (1997). Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6023.

    Full description at Econpapers || Download paper

37. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Fisher, Adlai ; Calvet, Laurent ; Mandelbrot, Benoit.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1166.

    Full description at Econpapers || Download paper

38. Canadian Short-Term Interest Rates and the BAX Futures Markets: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns Between Markets.. (1997). Watt, D. G. M., .
    In: Staff Working Papers.
    RePEc:bca:bocawp:97-18.

    Full description at Econpapers || Download paper

39. Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity. (1996). .
    In: Working Papers.
    RePEc:osu:osuewp:014.

    Full description at Econpapers || Download paper

40. Risk, Return and Regulation in Chinese Stock Markets. (1996). Su, Dongwei ; Fleisher, Belton.
    In: Working Papers.
    RePEc:osu:osuewp:005.

    Full description at Econpapers || Download paper

41. Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?. (1996). Vigfusson, Robert ; van Norden, Simon ; Murray, J..
    In: Technical Reports.
    RePEc:bca:bocatr:76.

    Full description at Econpapers || Download paper

42. Non-linear dynamics and chaos in the Spanish stock market. (1995). Pérez, Joaquín ; Perez, Joaquin ; Olmeda, Ignacio .
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:19:y:1995:i:2:p:217-248.

    Full description at Econpapers || Download paper

43. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-49.

    Full description at Econpapers || Download paper

44. The Distribution of Exchange Rates in the EMS. (1994). Hakkio, Craig ; Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4834.

    Full description at Econpapers || Download paper

45. The Predictive Ability of Several Models of Exchange Rate Volatility. (1994). West, Kenneth ; Cho, Dong Chul .
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0152.

    Full description at Econpapers || Download paper

46. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options. (1993). Bates, David S..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4596.

    Full description at Econpapers || Download paper

47. Efficient Tests for an Autoregressive Unit Root. (1992). Stock, James ; Elliott, Graham ; ROTHENBERG, Thomas J..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0130.

    Full description at Econpapers || Download paper

48. On meteor showers in stock markets: New York vs Madrid. (1992). Pea, Ignacio J..
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:16:y:1992:i:2:p:225-234.

    Full description at Econpapers || Download paper

49. Tipos de cambio flexibles, volatilidad y una nueva informacion: La nueva informacion como fuente de volatilidad. (). Vega, Manuel.
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:139.

    Full description at Econpapers || Download paper

50. Tipos de cambio flexibles y volatilidad: Las regularidades empíricas de las observaciones diarias. (). Vega, Manuel ; José L. Alvarez, .
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:116.

    Full description at Econpapers || Download paper

Report date: 2025-09-19 04:09:00 || Missing content? Let us know