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Citations for "Interest-Rate Volatility in Emerging Markets"

by Sebastian Edwards & Raul Susmel

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  1. Sebastian Edwards, 2004. "Thirty Years of Current Account Imbalances, Current Account Reversals and Sudden Stops," NBER Working Papers 10276, National Bureau of Economic Research, Inc.
  2. E. Otranto, 2012. "Spillover Effects in the Volatility of Financial Markets," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201217, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  3. Giampiero M. Gallo & Edoardo Otranto, 2007. "Volatility transmission across markets: a Multichain Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(8), pages 659-670.
  4. Michael Funke & Roberta Colavecchio, 2009. "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics 20903, Hamburg University, Department of Economics.
  5. Roberta Colavecchio & Michael Funke, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics 20708, Hamburg University, Department of Economics.
  6. Sebastian Edwards & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Stock Market Cycles, Financial Liberalization and Volatility," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 08/03, School of Economics and Business Administration, University of Navarra.
  7. Gallo, Giampiero M. & Otranto, Edoardo, 2008. "Volatility spillovers, interdependence and comovements: A Markov Switching approach," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 3011-3026, February.
  8. R. Gargano & E. Otranto, 2013. "Financial Clustering in Presence of Dominant Markets," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201318, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  9. Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0300, National Bureau of Economic Research, Inc.
  10. Giampiero M. Gallo & Edoardo Otranto, 2005. "Volatility Transmission in Financial Markets: A New Approach," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" wp2005_10, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  11. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, Elsevier, vol. 12(3), pages 272-292, September.
  12. Julius Moschitz, 2004. "Spillovers across High Yield Markets," Finance, EconWPA 0412024, EconWPA.
  13. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 445-473.
  14. Sebastián Edwards, 2006. "Managing the Capital Account," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, in: Ricardo Caballero & César Calderón & Luis Felipe Céspedes & Norman Loayza (Series Editor) & Klaus (ed.), External Vulnerability and Preventive Policies, edition 1, volume 10, chapter 9, pages 289-326 Central Bank of Chile.
  15. Khaled Guesmi & Frédéric Teulon & Zied Ftiti, 2013. "Sudden Changes in Volatility in European Stock Markets," Working Papers, Department of Research, Ipag Business School 2013-032, Department of Research, Ipag Business School.
  16. Giampiero M. Gallo & Margherita Velucchi, 2009. "Market interdependence and financial volatility transmission in East Asia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(1), pages 24-44.
  17. repec:ipg:wpaper:32 is not listed on IDEAS
  18. Gravelle, Toni & Kichian, Maral & Morley, James, 2006. "Detecting shift-contagion in currency and bond markets," Journal of International Economics, Elsevier, Elsevier, vol. 68(2), pages 409-423, March.
  19. Fukuda, Kosei, 2009. "Distribution switching in financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(5), pages 1711-1720.
  20. Andrew S. Duncan & Alain Kabundi, 2011. "Volatility Spillovers across South African Asset Classes during Domestic and Foreign," Working Papers, Economic Research Southern Africa 202, Economic Research Southern Africa.
  21. Barbedo, Claudio H.S. & de Melo, Eduardo F.L., 2012. "Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction," Journal of Economics and Business, Elsevier, Elsevier, vol. 64(5), pages 364-376.
  22. Miao, Daniel Wei-Chung & Wu, Chun-Chou & Su, Yi-Kai, 2013. "Regime-switching in volatility and correlation structure using range-based models with Markov-switching," Economic Modelling, Elsevier, Elsevier, vol. 31(C), pages 87-93.
  23. Giampiero M. Gallo & Edoardo Otranto, 2012. "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" 2012_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.
  24. Giampiero M. Gallo & Edoardo Otranto, 2014. "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" 2014_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  25. Sebastian Edwards, 2004. "Thirty Years of Current Account Imbalances, Current Account Reversals, and Sudden Stops," IMF Staff Papers, Palgrave Macmillan, Palgrave Macmillan, vol. 51(s1), pages 1-49, June.
  26. Echeverria Garaigorta, Paulina Elisa & Iza Padilla, María Amaya, 2011. "Business cycles in a small open economy: The case of Hong Kong," DFAEII Working Papers 2011-07, University of the Basque Country - Department of Foundations of Economic Analysis II.
  27. Sebastián Edwards, 2005. "Managing the Capital Account," Working Papers Central Bank of Chile, Central Bank of Chile 338, Central Bank of Chile.
  28. Qiao, Zhuo & Smyth, Russell & Wong, Wing-Keung, 2008. "Volatility switching and regime interdependence between information technology stocks 1995-2005," Global Finance Journal, Elsevier, vol. 19(2), pages 139-156.
  29. A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander, 2012. "Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia 201214, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  30. Andres KUUSK & Tiiu Paas & Andres KUUSK, 2011. "Financial contagion of the 2008 crisis: is there any evidence of financial contagion from the US to the Baltic states," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, Centre for European Studies, Alexandru Ioan Cuza University, vol. 2, pages 61-76, December.
  31. Aymen Ben Rejeb, 2013. "Volatility spillovers and contagion: an empirical analysis of structural changes in emerging market volatility," Economics Bulletin, AccessEcon, vol. 33(1), pages 56-71.
  32. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2012. "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 94(1), pages 222-223, February.
  33. Li, Ming-Yuan Leon, 2009. "Could the jump diffusion technique enhance the effectiveness of futures hedging models?," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(10), pages 3076-3088.