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Regime switching in foreign exchange rates: Evidence from currency option prices

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Author Info
Bollen, Nicolas P. B.
Gray, Stephen F.
Whaley, Robert E.
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 94 (2000)
Issue (Month): 1-2 ()
Pages: 239-276
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Handle: RePEc:eee:econom:v:94:y:2000:i:1-2:p:239-276

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Driessen, Joost & Perotti, Enrico C, 2004. "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers 4180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Michel Beine & Sebastien Laurent, 2000. "Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates," Econometric Society World Congress 2000 Contributed Papers 0312, Econometric Society. [Downloadable!]
  3. Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and inference for a Markov switching Garch model," Cahiers de recherche 07-09, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
    Other versions:
  4. Yilmazkuday, Hakan & Akay, Koray, 2008. "An analysis of regime shifts in the Turkish economy," Economic Modelling, Elsevier, vol. 25(5), pages 885-898, September. [Downloadable!] (restricted)
  5. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics. [Downloadable!]
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  6. Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers 2002-26, Brown University, Department of Economics. [Downloadable!]
  7. Yin-Wong Cheung & Ulf G. Erlandsson, 2004. "Exchange Rates and Markov Switching Dynamics," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  8. Colavecchio , Roberta & Funke, Michael, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," BOFIT Discussion Papers 17/2007, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
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  9. Rituparna Kar & Nityananda Sarkar, 2006. "Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation," Asia-Pacific Financial Markets, Springer, vol. 13(1), pages 41-69, March. [Downloadable!] (restricted)
  10. Peter Carr & Liuren Wu, 2004. "Stochastic Skew in Currency Options," Finance 0409014, EconWPA. [Downloadable!]
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  11. Arias, Guillaume & Erlandsson, Ulf, 2004. "Regime switching as an alternative early warning system of currency crises - an application to South-East Asia," Working Papers 2004:11, Lund University, Department of Economics. [Downloadable!]
  12. Wai Mun Fong & Kim Hock See, 2003. "Basis variations and regime shifts in the oil futures market," European Journal of Finance, Taylor and Francis Journals, vol. 9(5), pages 499-513, October. [Downloadable!] (restricted)
  13. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques) 2006006, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  14. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  15. Eric Bond & James R. Tybout & Hâle Utar, 2008. "Credit Rationing, Risk Aversion and Industrial Evolution in Developing Countries," NBER Working Papers 14116, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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