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Foreign Exchange Rates Have Surprising Volatility

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  • Bossaerts, P.
  • Hafner, C.
  • Härdle, Wolfgang

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  • Bossaerts, P. & Hafner, C. & Härdle, Wolfgang, 1996. "Foreign Exchange Rates Have Surprising Volatility," SFB 373 Discussion Papers 1996,68, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199668
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    Cited by:

    1. Lijian Yang & Wolfgang Hardle & Jens Nielsen, 1999. "Nonparametric Autoregression with Multiplicative Volatility and Additive mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(5), pages 579-604, September.
    2. Bossaerts, Peter & Hillion, Pierre, 2003. "Local parametric analysis of derivatives pricing and hedging," Journal of Financial Markets, Elsevier, vol. 6(4), pages 573-605, August.
    3. Eric Ghysels & Valentin Patilea & Eric Renault & Olivier Torrès, 1997. "Nonparametric Methods and Option Pricing," CIRANO Working Papers 97s-19, CIRANO.
    4. Christian M. Hafner & Wolfgang HÄrdle, 2000. "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, vol. 4(2), pages 189-207.
    5. Juan Manuel Julio & Norberto Rodríguez & Héctor Manuel Zárate, 2005. "Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach," Borradores de Economia 2605, Banco de la Republica.
    6. Sami MESTIRI, 2022. "Modeling the volatility of Bitcoin returns using Nonparametric GARCH models," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 13(1), pages 2-16, June.
    7. Nour Meddahi & Eric Renault, 1998. "Quadratic M-Estimators for ARCH-Type Processes," CIRANO Working Papers 98s-29, CIRANO.
    8. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
    9. Carroll, Raymond J. & Härdle, Wolfgang & Mammen, Enno, 1999. "Estimation in an additive model when the components are linked parametrically," SFB 373 Discussion Papers 1999,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    10. Bossaerts, Peter & Hillion, Pierre, 1997. "Local parametric analysis of hedging in discrete time," Journal of Econometrics, Elsevier, vol. 81(1), pages 243-272, November.

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