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Forecasting short-run exchange rate volatility with monetary fundamentals : a GARCH-MIDAS approach
You, Yu; Liu, Xiaochun - In: Journal of banking & finance 116 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012489245
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Do central banks react to the stock market? : the case of the Bundesbank
Bohl, Martin T.; Siklos, Pierre L.; Werner, Thomas - In: Journal of banking & finance 31 (2007) 3, pp. 719-733
Persistent link: https://www.econbiz.de/10003429766
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Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
Dark, Jonathan - In: Journal of banking & finance 61 (2015) 2, pp. 269-285
Persistent link: https://www.econbiz.de/10011586925
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Market risk and the concepts of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial mar...
Hwang, Soosung; Satchell, Stephen - In: Journal of banking & finance 24 (2000) 5, pp. 759-785
Persistent link: https://www.econbiz.de/10001467848
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Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations
Chuliá, Helena; Martens, Martin; Dijk, Dick van - In: Journal of banking & finance 34 (2010) 4, pp. 834-839
Persistent link: https://www.econbiz.de/10003966116
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A tale of two regimes : theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Chang, Charles; Fuh, Cheng-der; Lin, Shih-kuei - In: Journal of banking & finance 37 (2013) 8, pp. 3204-3217
Persistent link: https://www.econbiz.de/10009778451
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Credit default swap spreads and variance risk premia
Wang, Hao; Zhou, Hao; Zhou, Yi - In: Journal of banking & finance 37 (2013) 10, pp. 3733-3746
Persistent link: https://www.econbiz.de/10010126846
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Interest rate expectations and uncertainty during ECB Governing Council days : evidence from intraday implied densities of 3-month EURIBOR
Vergote, Olivier; Puigvert Gutiérrez, Josep Maria - In: Journal of banking & finance 36 (2012) 10, pp. 2804-2823
Persistent link: https://www.econbiz.de/10009673241
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Financial fragility in the Great Moderation
Bezemer, Dirk Johan; Grydaki, Maria - In: Journal of banking & finance 49 (2014), pp. 169-177
Persistent link: https://www.econbiz.de/10010508050
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Modeling interest rate volatility : a Realized GARCH approach
Tian, Shuairu; Hamori, Shigeyuki - In: Journal of banking & finance 61 (2015), pp. 158-171
Persistent link: https://www.econbiz.de/10011545170