Citations for "An examination of foreign exchange risk under fixed and floating rate regimes"
by Westerfield, Janice Moulton
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- Osler, Carol & Savaser, Tanseli, 2011.
"Extreme returns: The case of currencies,"
Journal of Banking & Finance,
Elsevier, vol. 35(11), pages 2868-2880, November.
- Henriksson, Roy. & Lessard, Donald R., 1982.
"The efficiency of the forward exchange market : a conditional nonparametric test of forecasting ability,"
1337-82., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Chihwa Kao, 2001.
"Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates,"
Center for Policy Research Working Papers
34, Center for Policy Research, Maxwell School, Syracuse University.
- Sukar, Abdul-Hamid & Hassan, Seid, 2001.
"US exports and time-varying volatility of real exchange rate,"
Global Finance Journal,
Elsevier, vol. 12(1), pages 109-119.
- Zhao, Zhibiao & Wu, Wei Biao, 2009.
"Nonparametric inference of discretely sampled stable Lévy processes,"
Journal of Econometrics,
Elsevier, vol. 153(1), pages 83-92, November.
- Brandt, Michael W. & Santa-Clara, Pedro, 2002.
"Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets,"
Journal of Financial Economics,
Elsevier, vol. 63(2), pages 161-210, February.
- S. Brock Blomberg & Gregory D. Hess, 1996.
"Politics and exchange rate forecasts,"
Research Working Paper
96-02, Federal Reserve Bank of Kansas City.
- Eun, Cheol S. & Sabherwal, Sanjiv, 2002.
"Forecasting exchange rates: Do banks know better?,"
Global Finance Journal,
Elsevier, vol. 13(2), pages 195-215.
- Manuel Vega & José L. Alvarez, .
"Tipos de cambio flexibles y volatilidad: Las regularidades empíricas de las observaciones diarias,"
Studies on the Spanish Economy
- C. L. Osler, 2002.
"Stop-loss orders and price cascades in currency markets,"
150, Federal Reserve Bank of New York.
- Cumperayot, Phornchanok & Kouwenberg, Roy, 2013.
"Early warning systems for currency crises: A multivariate extreme value approach,"
Journal of International Money and Finance,
Elsevier, vol. 36(C), pages 151-171.
- Robert Aliber, 1978.
"The integration of National financial markets: A review of theory and findings,"
Review of World Economics (Weltwirtschaftliches Archiv),
Springer, vol. 114(3), pages 448-480, September.
- Najand, Mohammad & Bond, Charlotte, 2000.
"Structural models of exchange rate determination,"
Journal of Multinational Financial Management,
Elsevier, vol. 10(1), pages 15-27, January.
- Michael P. Leahy, 1991.
"Determining foreign exchange risk and bank capital requirements,"
International Finance Discussion Papers
400, Board of Governors of the Federal Reserve System (U.S.).
- Henri Loubergé, 1980.
"Le risque de change existe-t-il?,"
Swiss Journal of Economics and Statistics (SJES),
Swiss Society of Economics and Statistics (SSES), vol. 116(IV), pages 385-402, December.
- Pollock, Andrew C. & Macaulay, Alex & Thomson, Mary E. & Onkal, Dilek, 2005.
"Performance evaluation of judgemental directional exchange rate predictions,"
International Journal of Forecasting,
Elsevier, vol. 21(3), pages 473-489.
- Coppes, R. C., 1995.
"Are exchange rate changes normally distributed?,"
Elsevier, vol. 47(2), pages 117-121, February.
- S. Brock Blomberg, 2001.
""Dumb And Dumber" Explanations For Exchange Rate Dynamics,"
Journal of Applied Economics,
Universidad del CEMA, vol. 0, pages 187-216, November.
- Gencay, Ramazan, 1999.
"Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules,"
Journal of International Economics,
Elsevier, vol. 47(1), pages 91-107, February.
- Tsionas, Efthymios G., 1998.
"Monte Carlo inference in econometric models with symmetric stable disturbances,"
Journal of Econometrics,
Elsevier, vol. 88(2), pages 365-401, November.
- Han, Young Wook, 2007.
"High frequency perspective on jump process, long memory property and temporal aggregation: Case of $-AUD exchange rates,"
Japan and the World Economy,
Elsevier, vol. 19(2), pages 248-262, March.
- Michael W. Brandt & Pedro Santa-Clara, 2001.
"Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets,"
NBER Technical Working Papers
0274, National Bureau of Economic Research, Inc.
- Frain, John & Meegan, Conor, 1996.
"Market Risk: An introduction to the concept & analytics of Value-at-risk,"
Research Technical Papers
7/RT/96, Central Bank of Ireland.
- Kaehler, Jürgen, 1993.
"On the modelling of speculative prices by stable Paretian distributions and regularly varying tails,"
ZEW Discussion Papers
93-25, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Saadet Kasman & Duygu Ayhan, 2006.
"Macroeconomic Volatility under Alternative Exchange Rate Regimes in Turkey,"
Central Bank Review,
Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(2), pages 37-58.