Correlation in currency markets a risk-adjusted perspective
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- Su, Liangjun & White, Halbert, 2007.
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- Su, Liangjun & White, Halbert, 2003. "A Consistent Characteristic-Function-Based Test for Conditional Independence," University of California at San Diego, Economics Working Paper Series qt4dv0837f, Department of Economics, UC San Diego.
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"Testing for nonlinear Granger causality from fundamentals to exchange rates in the ERM,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 69-82, January.
- Y. Ma & Angelos Kanas, "undated". "Testing for Nonlinear Granger Causality from fundamentals to Exchange Rates in ERM," Working Papers 9805, University of Crete, Department of Economics.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003.
"Modeling and Forecasting Realized Volatility,"
Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics.
- 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.
- Su, Liangjun & White, Halbert, 2014.
"Testing conditional independence via empirical likelihood,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 27-44.
- Su, Liangjun & White, Halbert, 2003. "Testing Conditional Independence Via Empirical Likelihood," University of California at San Diego, Economics Working Paper Series qt35v8g0fm, Department of Economics, UC San Diego.
- Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
- Irena Vodenska & Alexander P. Becker & Di Zhou & Dror Y. Kenett & H. Eugene Stanley & Shlomo Havlin, 2016. "Community Analysis of Global Financial Markets," Risks, MDPI, vol. 4(2), pages 1-15, May.
- Mahfuzul Haque & Imen Kouki, 2009. "Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets," Journal of Risk Finance, Emerald Group Publishing, vol. 10(3), pages 261-276, May.
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