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Citations for "Modeling Heteroscedasticity in Daily Foreign-Exchange Rates"

by Hsieh, David A

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  1. Kang, In-Bong, 1999. "International foreign exchange agreements and nominal exchange rate volatility: a GARCH application," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 453-472.
  2. Lim, G. C. & Lye, J. N. & Martin, G. M. & Martin*, V. L., 1998. "The distribution of exchange rate returns and the pricing of currency options," Journal of International Economics, Elsevier, vol. 45(2), pages 351-368, August.
  3. Baillie, Richard T. & Bollerslev, Tim, 2000. "The forward premium anomaly is not as bad as you think," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 471-488, August.
  4. Wang, Kai-Li & Fawson, Christopher B. & Barrett, Christopher B. & McDonald, James B., 1998. "A Flexible Parametric Garch Model With An Application To Exchange Rates," Economics Research Institute, ERI Study Papers 28355, Utah State University, Economics Department.
  5. ZHU, Dongming & ZINDE-WALSH, Victoria, 2007. "Properties and Estimation of Asymmetric Exponential Power Distribution," Cahiers de recherche 13-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  6. Kane, Alex & Lehmann, Bruce N. & Trippi, Robert R., 2000. "Regularities in volatility and the price of risk following large stock market movements in the US and Japan," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 1-32, February.
  7. Bronka Rzepkowski, 2001. "Pouvoir prédictif de la volatilité implicite dans le prix des options de change," Économie et Prévision, Programme National Persée, vol. 148(2), pages 71-97.
  8. Beetsma, R.M.W.J., 1991. "Bands and statistical properties of EMS exchange rates : A Monte Carlo investigation of three target zone model," Discussion Paper 1991-60, Tilburg University, Center for Economic Research.
  9. van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A., 1996. "Testing for ARCH in the Presence of Additive Outliers," Econometric Institute Research Papers EI 9659-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  10. Fatum, Rasmus & Scholnick, Barry, 2003. "Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market," Santa Cruz Center for International Economics, Working Paper Series qt4cc3291n, Center for International Economics, UC Santa Cruz.
  11. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," SCAPE Policy Research Working Paper Series 0805, National University of Singapore, Department of Economics, SCAPE.
  12. Hu, Michael Y. & Tsoukalas, Christos, 1999. "Combining conditional volatility forecasts using neural networks: an application to the EMS exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 407-422, November.
  13. Belton Fleisher & Dongwei Su, 1996. "Risk, Return and Regulation in Chinese Stock Markets," Working Papers 005, Ohio State University, Department of Economics.
  14. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-51, April.
  15. Christelle Lecourt, 2000. "Dépendance de court et de long terme des rendements de taux de change," Économie et Prévision, Programme National Persée, vol. 146(5), pages 127-137.
  16. Drama, Bedi Guy Herve & Yao, Shen, 2010. "Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets," MPRA Paper 24907, University Library of Munich, Germany.
  17. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  18. Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
  19. Kathryn M. Dominguez, 1993. "Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?," NBER Working Papers 4532, National Bureau of Economic Research, Inc.
  20. Woosik Moon & Yeongseop Rhee, 2006. "Spot and foward market intervention during the 1997 Korean currency crisis," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 59(238), pages 243-268.
  21. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten �rregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
  22. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
  23. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, EconWPA.
  24. Jansen, David-Jan & De Haan, Jakob, 2005. "Talking heads: the effects of ECB statements on the euro-dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 343-361, March.
  25. Cheong, Chongcheul & Mehari, Tesfa & Williams, Leighton Vaughan, 2005. "The effects of exchange rate volatility on price competitiveness and trade volumes in the UK: A disaggregated approach," Journal of Policy Modeling, Elsevier, vol. 27(8), pages 961-970, November.
  26. Chongcheul Cheong & Tesfa Mehari & Leighton Williams, 2006. "Dynamic Links Between Unexpected Exchange Rate Variation, Prices, and International Trade," Open Economies Review, Springer, vol. 17(2), pages 221-233, April.
  27. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
  28. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  29. Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
  30. Baillie, Richard T. & Cecen, Aydin A. & Erkal, Cahit & Han, Young-Wook, 2004. "Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 401-418, December.
  31. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 759-793.
  32. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
  33. Kim, Suk-Joong & Sheen, Jeffrey, 2006. "Interventions in the Yen-dollar spot market: A story of price, volatility and volume," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3191-3214, November.
  34. Bekiros, S. & Diks, C.G.H., 2007. "The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality," CeNDEF Working Papers 07-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  35. Michael Funke & Roberta Colavecchio, 2008. "Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," Quantitative Macroeconomics Working Papers 20812, Hamburg University, Department of Economics.
  36. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1641-1650, December.
  37. Bali, Turan G. & Wu, Liuren, 2010. "The role of exchange rates in intertemporal risk-return relations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1670-1686, December.
  38. BEINE, Michel & LAURENT, Sébastien & PALM, Franz, 2004. "Central Bank forex interventions assessed using realized moments," CORE Discussion Papers 2004001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  39. Bekiros, Stelios D., 2014. "Exchange rates and fundamentals: Co-movement, long-run relationships and short-run dynamics," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 117-134.
  40. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian," Center for Financial Institutions Working Papers 00-29, Wharton School Center for Financial Institutions, University of Pennsylvania.
  41. Beine, Michel & Benassy-Quere, Agnes & Lecourt, Christelle, 2002. "Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations," Journal of International Money and Finance, Elsevier, vol. 21(1), pages 115-144, February.
  42. Raymond Chiang & John Okunev & Mark Tippett, 1996. "Stochastic Interest Rates, Transaction Costs and Immunizing Foreign Currency Risk," Working Paper Series 58, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  43. Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2000. "Diagnosing and treating the fat tails in financial returns data," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 389-416, November.
  44. Dajiang Guo, 2000. "Dynamic Volatility Trading Strategies in the Currency Option Market," Review of Derivatives Research, Springer, vol. 4(2), pages 133-154, May.
  45. Emenike, Kalu O., 2010. "Modelling Stock Returns Volatility In Nigeria Using GARCH Models," MPRA Paper 22723, University Library of Munich, Germany.
  46. Choudhry, Taufiq, 2004. "The hedging effectiveness of constant and time-varying hedge ratios using three Pacific Basin stock futures," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 371-385.
  47. Abberger, Klaus, 1995. "Volatility and conditional distribution in financial markets," Discussion Papers, Series II 252, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
  48. Serletis, Apostolos & Malliaris, Anastasios & Hinich, Melvin & Gogas, Periklis, 2010. "Episodic Nonlinearity in Leading Global Currencies," DUTH Research Papers in Economics 3-2010, Democritus University of Thrace, Department of Economics.
  49. Broto, Carmen, 2013. "The effectiveness of forex interventions in four Latin American countries," Emerging Markets Review, Elsevier, vol. 17(C), pages 224-240.
  50. Mohammadi, Hassan & Su, Lixian, 2010. "International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models," Energy Economics, Elsevier, vol. 32(5), pages 1001-1008, September.
  51. Nikiforos Laopodis, 2000. "Monetary policy implications of volatility linkages among long-term interest rates," Journal of Economics and Finance, Springer, vol. 24(2), pages 160-177, June.
  52. Lucy Amigo Dobaño & Francisco Rodríguez de Prado, 2003. "Alteraciones en el comportamiento bursátil de las acciones de empresas tecnológicas inducidas por el vencimiento de derivados," Working Papers 0308, Universidade de Vigo, Departamento de Economía Aplicada.
  53. Michel Beine & Agnès Bénassy-Quéré & Christelle Lecourt, 1999. "The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations," Working Papers 1999-14, CEPII research center.
  54. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
  55. Neely, Christopher J., 1999. "Target zones and conditional volatility: The role of realignments," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 177-192, April.
  56. Norberto Rodríguez, 2000. "Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate," BORRADORES DE ECONOMIA 002060, BANCO DE LA REPÚBLICA.
  57. Pozo, Susan & Amuedo-Dorantes, Catalina, 2003. "Statistical distributions and the identification of currency crises," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 591-609, August.
  58. Yongmiao Hong & Haitao Li & Feng Zhao, 2013. "Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts? Evidence from Intraday Forei," Papers 2013-10-14, Working Paper.
  59. Roberts, Matthew C., 1999. "Mixture Distributions: Curing Commodity Kurtosis?," 1999 Annual meeting, August 8-11, Nashville, TN 21604, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  60. Jin, Hyun Joung, 2008. "A Long Memory Conditional Variance Model for International Grain Markets," Journal of Rural Development/Nongchon-Gyeongje, Korea Rural Economic Institute, vol. 31(2), May.
  61. Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012. "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 271-291.
  62. Hafedh Bouakez & Foued Chihi & Michel Normandin, 2011. "Fiscal Policy and External Adjustment: New Evidence," Cahiers de recherche 1123, CIRPEE.
  63. Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer, vol. 5(2), pages 99-128, May.
  64. Manuel Vega & José L. Alvarez, . "Tipos de cambio flexibles y volatilidad: Las regularidades empíricas de las observaciones diarias," Studies on the Spanish Economy 116, FEDEA.
  65. Mougoue, Mbodja & Whyte, Ann Marie, 1996. "Stock returns and volatility: An empirical investigation of the German and French equity markets," Global Finance Journal, Elsevier, vol. 7(2), pages 253-263.
  66. Laopodis, N. T., 1998. "Asymmetric volatility spillovers in deutsche mark exchange rates," Journal of Multinational Financial Management, Elsevier, vol. 8(4), pages 413-430, November.
  67. 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.
  68. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November.
  69. Richard T. Baillie & William P. Osterberg, 1998. "Central bank intervention and overnight uncovered interest rate parity," Working Paper 9823, Federal Reserve Bank of Cleveland.
  70. Smith, Geoffrey Peter, 2012. "Google Internet search activity and volatility prediction in the market for foreign currency," Finance Research Letters, Elsevier, vol. 9(2), pages 103-110.
  71. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
  72. Georgios, Katechos, 2011. "On the relationship between exchange rates and equity returns: A new approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 550-559, October.
  73. D. Jansen & J. de Haan, 2003. "Statements of ECB Officials and their Effect on the Level and Volatility of the Euro-Dollar Exchange Rate," WO Research Memoranda (discontinued) 726, Netherlands Central Bank, Research Department.
  74. Cifter, Atilla & Ozun, Alper, 2007. "The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey," MPRA Paper 2489, University Library of Munich, Germany.
  75. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
  76. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
  77. Jose M. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "Implied Exchange Rate Distributions: Evidence from OTC Option Markets," NBER Working Papers 6179, National Bureau of Economic Research, Inc.
  78. Peter C.B. Phillips & James W. McFarland & Patrick C. McMahon, 1994. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's," Cowles Foundation Discussion Papers 1080, Cowles Foundation for Research in Economics, Yale University.
  79. Kim, Suk-Joong & Sheen, Jeffrey, 2002. "The determinants of foreign exchange intervention by central banks: evidence from Australia," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 619-649, October.
  80. Simonato, Jean-Guy, 2012. "GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case," Finance Research Letters, Elsevier, vol. 9(4), pages 213-219.
  81. Jeyanthi Karuppiah & Cornelis A. Los, 2000. "Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997," School of Economics Working Papers 2000-06, University of Adelaide, School of Economics.
  82. Cem Kadilar & Muammer Simsek & Cagdas Hakan Aladag, 2009. "Forecasting The Exchange Rate Series With Ann: The Case Of Turkey," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 9(1), pages 17-29, May.
  83. Christofi, A. & Pericli, A., 1999. "Correlation in price changes and volatility of major Latin American stock markets," Journal of Multinational Financial Management, Elsevier, vol. 9(1), pages 79-93, January.
  84. Hu, Michael Y. & Jiang, Christine X. & Tsoukalas, Christos, 1997. "The European exchange rates before and after the establishment of the European Monetary System," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 235-253, October.
  85. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc.
  86. Samih Antoine Azar, 2013. "Mean Aversion in and Persistence of Shocks to the US Dollar: Evidence from Nine Foreign Currencies," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 723-733.
  87. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
  88. David Basterfield & Thomas Bundt & Kevin Nordt, 2010. "Risk management in electricity markets," Managerial Finance, Emerald Group Publishing, vol. 36(6), pages 525-533, June.
  89. G.R. Pasha & Tahira Qasim & Muhammad Aslam, 2007. "Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 12(2), pages 115-149, Jul-Dec.
  90. Gulcay Tuna PAYASLIOGLU, . "The Effectiveness Of Central Bank Intervention on Exchange Rate Volatility: Evidence from Turkey," Middle East and North Africa 330400050, EcoMod.
  91. Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong, 2012. "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, Elsevier, vol. 21(4), pages 168-174.
  92. Michel Beine & Sébastien Laurent & Franz Palm, . "Central bank intervention in the foreign exchange markets assessed using realized moments," ULB Institutional Repository 2013/10407, ULB -- Universite Libre de Bruxelles.
  93. Manuel Vega, . "Tipos de cambio flexibles, volatilidad y una nueva informacion: La nueva informacion como fuente de volatilidad," Studies on the Spanish Economy 139, FEDEA.
  94. Tai, Chu-Sheng, 2005. "Asymmetric currency exposure of US bank stock returns," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 455-472, October.
  95. Chen, An-Sing & Leung, Mark T., 1998. "Stochastic properties and predictability of intraday Taiwan exchange rates," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 207-220.
  96. Baillie, Richard T. & Osterberg, William P., 1997. "Why do central banks intervene?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 909-919, December.
  97. Linkon Mondal, 2014. "Volatility spillover between the RBI’s intervention and exchange rate," International Economics and Economic Policy, Springer, vol. 11(4), pages 549-560, December.
  98. Baillie, Richard T. & Osterberg, William P., 2000. "Deviations from daily uncovered interest rate parity and the role of intervention," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 363-379, December.
  99. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  100. Mendoza-Velázquez, Alfonso & Galvanovskis, Evalds, 2009. "Introducing the GED-Copula with an application to Financial Contagion in Latin America," MPRA Paper 46669, University Library of Munich, Germany, revised 01 Feb 2010.
  101. Koutmos, Gregory & Martin, Anna D., 2003. "Asymmetric exchange rate exposure: theory and evidence," Journal of International Money and Finance, Elsevier, vol. 22(3), pages 365-383, June.
  102. Almekinders, G.J. & Eijffinger, S.C.W., 1994. "The ineffectiveness of central bank intervention," Discussion Paper 1994-101, Tilburg University, Center for Economic Research.
  103. Allen, Linda & Bali, Turan G., 2007. "Cyclicality in catastrophic and operational risk measurements," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1191-1235, April.
  104. Vortelinos, Dimitrios I. & Thomakos, Dimitrios D., 2013. "Nonparametric realized volatility estimation in the international equity markets," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 34-45.
  105. Woosik Moon & Yeongseop Rhee, 2006. "Spot and foward market intervention during the 1997 Korean currency crisis," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(238), pages 243-268.
  106. Rehim Kilic, 2011. "A conditional variance tale from an emerging economy's freely floating exchange rate," Applied Economics, Taylor & Francis Journals, vol. 43(19), pages 2465-2480.
  107. Bekiros, Stelios, 2014. "Nonlinear causality testing with stepwise multivariate filtering: Evidence from stock and currency markets," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 336-348.
  108. Gilmore, Claire G., 2001. "An examination of nonlinear dependence in exchange rates, using recent methods from chaos theory," Global Finance Journal, Elsevier, vol. 12(1), pages 139-151.
  109. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.
  110. Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," REVISTA DE ECONOMÍA DEL ROSARIO, UNIVERSIDAD DEL ROSARIO.
  111. repec:dgr:kubcen:199160 is not listed on IDEAS
  112. Tai, Chu-Sheng, 2008. "Asymmetric currency exposure and currency risk pricing," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 647-663, September.
  113. Inci, Ahmet Can, 2008. "The Japanese yen futures returns, spot returns, and the risk premium," Global Finance Journal, Elsevier, vol. 18(3), pages 385-399.
  114. Len, Angel & Vaello-Sebasti, Antoni, 2009. "American GARCH employee stock option valuation," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1129-1143, June.
  115. William P. Osterberg & Rebecca Wetmore Humes, 1995. "More on the differences between reported and actual U.S. central bank foreign exchange intervention," Working Paper 9501, Federal Reserve Bank of Cleveland.
  116. Aydin Cecen, A. & Erkal, Cahit, 1996. "Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns: Further evidence," Economics Letters, Elsevier, vol. 51(3), pages 323-329, June.
  117. repec:dgr:kubcen:199152 is not listed on IDEAS
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