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Stylized Facts of Nominal Exchange Rate Returns
Citations
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Cited by:
- Johann Lussange & Ivan Lazarevich & Sacha Bourgeois-Gironde & Stefano Palminteri & Boris Gutkin, 2021. "Modelling Stock Markets by Multi-agent Reinforcement Learning," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 113-147, January.
- Lucas, Andre, 2000.
"A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 31-39, January.
- Lucas, André, 1997. "A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior," Serie Research Memoranda 0056, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Adri'an Carro & Ra'ul Toral & Maxi San Miguel, 2015. "Markets, herding and response to external information," Papers 1506.03708, arXiv.org, revised Jun 2015.
- Kaizoji, Taisei & Leiss, Matthias & Saichev, Alexander & Sornette, Didier, 2015.
"Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders,"
Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 289-310.
- Taisei KAIZOJI & Matthias LEISS & Alexander I. SAICHEV & Didier SORNETTE, 2015. "Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders," Swiss Finance Institute Research Paper Series 15-07, Swiss Finance Institute.
- Straetmans, Stefan T.M. & Versteeg, Roald J. & Wolff, Christian C.P., 2013.
"Are capital controls in the foreign exchange market effective?,"
Journal of International Money and Finance, Elsevier, vol. 35(C), pages 36-53.
- Christian Wolff & Stefan T.M. Straetmans & Roald J. Versteeg, 2008. "Are Capital Controls in the Foreign Exchange Market Effective?," LSF Research Working Paper Series 08-12, Luxembourg School of Finance, University of Luxembourg.
- Wolff, Christian & Straetmans, Stefan & Versteeg, Roald, 2008. "Are Capital Controls in the Foreign Exchange Market Effective?," CEPR Discussion Papers 6727, C.E.P.R. Discussion Papers.
- Simone Alfarano & Thomas Lux, 2007.
"A Minimal Noise Trader Model with Realistic Time Series Properties,"
Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 345-361,
Springer.
- Alfarano, Simone & Lux, Thomas, 2003. "A minimal noise trader model with realistic time series properties," Economics Working Papers 2003-15, Christian-Albrechts-University of Kiel, Department of Economics.
- Alfarano, Simone & Lux, Thomas, 2006. "A minimal noise trader model with realistic time series properties," Economics Working Papers 2006-11, Christian-Albrechts-University of Kiel, Department of Economics.
- Strobel, Frank, 2012. "International tax arbitrage, currency options and put-call parity conditions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 473-486.
- Sergio Da Silva & Guilherme Moura & Sidney Caetano, 2004.
"Big Mac parity, income, and trade,"
Economics Bulletin, AccessEcon, vol. 6(12), pages 1-8.
- Sidney Caetano & Guilherme Moura & Sergio Da Silva, 2004. "Big Mac Parity, Income, and Trade," International Finance 0407011, University Library of Munich, Germany.
- Groenendijk, Patrick A. & Lucas, André & Vries, Casper G. de, 1997. "Stochastic processes, non-normal innovations, and the use of scaling ratios," Serie Research Memoranda 0058, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Brandner, Peter & Grech, Harald & Stix, Helmut, 2006.
"The effectiveness of central bank intervention in the EMS: The post 1993 experience,"
Journal of International Money and Finance, Elsevier, vol. 25(4), pages 580-597, June.
- Peter Brandner & Harald Grech & Helmut Stix, 2001. "The Effectiveness of Central Bank Intervention in the EMS. The Post 1993 Experience," WIFO Working Papers 168, WIFO.
- Peter Brandner & Harald Grech & Helmut Stix, 2001. "The Effectiveness of Central Bank Intervention in the EMS: The Post 1993 Experience," Working Papers 55, Oesterreichische Nationalbank (Austrian Central Bank).
- Chakraborty, Abhijit & Easwaran, Soumya & Sinha, Sitabhra, 2018. "Deviations from universality in the fluctuation behavior of a heterogeneous complex system reveal intrinsic properties of components: The case of the international currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 599-610.
- D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
- Alfarano, Simone & Lux, Thomas, 2007.
"A Noise Trader Model As A Generator Of Apparent Financial Power Laws And Long Memory,"
Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 80-101, November.
- Alfarano, Simone & Lux, Thomas, 2005. "A noise trader model as a generator of apparent financial power laws and long memory," Economics Working Papers 2005-13, Christian-Albrechts-University of Kiel, Department of Economics.
- Marey, Philip S., 2004. "Exchange rate expectations: controlled experiments with artificial traders," Journal of International Money and Finance, Elsevier, vol. 23(2), pages 283-304, March.
- Carol Alexander & Emese Lazar, 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, April.
- 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.
- Carol Alexandra & Emese Lazar, 2004. "Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling," ICMA Centre Discussion Papers in Finance icma-dp2004-05, Henley Business School, University of Reading.
- Sornette, D & Malevergne, Y, 2001.
"From rational bubbles to crashes,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 40-59.
- Didier Sornette & Yannick Malevergne, 2001. "From rational bubbles to crashes," Post-Print hal-02312895, HAL.
- D. Sornette & Y. Malevergne, 2001. "From Rational Bubbles to Crashes," Papers cond-mat/0102305, arXiv.org.
- E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
- Y. Malevergne & D. Sornette, 2003.
"Testing the Gaussian copula hypothesis for financial assets dependences,"
Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 231-250.
- Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Papers cond-mat/0111310, arXiv.org.
- Yannick Malevergne & Didier Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Post-Print hal-00520539, HAL.
- Yannick Malevergne & Didier Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependence," Post-Print hal-02312888, HAL.
- Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Finance 0111003, University Library of Munich, Germany.
- Sornette, D., 2002. "“Slimming” of power-law tails by increasing market returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 309(3), pages 403-418.
- Taisei Kaizoji, 2010.
"Stock volatility in the periods of booms and stagnations,"
EERI Research Paper Series
EERI_RP_2010_07, Economics and Econometrics Research Institute (EERI), Brussels.
- Kaizoji, Taisei, 2010. "Stock volatility in the periods of booms and stagnations," MPRA Paper 23727, University Library of Munich, Germany.
- Lux, Thomas & Sornette, Didier, 2002.
"On Rational Bubbles and Fat Tails,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 589-610, August.
- Thomas Lux & D. Sornette, 1999. "On Rational Bubbles and Fat Tails," Papers cond-mat/9910141, arXiv.org.
- Malz, Allan M., 1996. "Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 717-748, October.
- E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001.
"Microscopic Models of Financial Markets,"
Papers
cond-mat/0110354, arXiv.org.
- Samanidou, Egle & Zschischang, Elmar & Stauffer, Dietrich & Lux, Thomas, 2006. "Microscopic models of financial markets," Economics Working Papers 2006-15, Christian-Albrechts-University of Kiel, Department of Economics.
- Strobel, Frank, 2001. "International tax arbitrage, tax evasion and interest parity conditions," Research in Economics, Elsevier, vol. 55(4), pages 413-427, December.
- Filimonov, Vladimir & Sornette, Didier, 2015. "Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns," Chaos, Solitons & Fractals, Elsevier, vol. 74(C), pages 27-45.
- Chen, Shu-Heng & Lux, Thomas & Marchesi, Michele, 2001. "Testing for non-linear structure in an artificial financial market," Journal of Economic Behavior & Organization, Elsevier, vol. 46(3), pages 327-342, November.
- Reza Siregar & Victor Pontines, 2005.
"Incidences of Speculative Attacks on Rupiah During The Pre- and Post-1997 Financial Crisis,"
Centre for International Economic Studies Working Papers
2005-04, University of Adelaide, Centre for International Economic Studies.
- Reza Siregar & Victor Pontines, 2005. "Incidence of Speculative Attacks on Rupiah During the Pre- and Post- 1997 Financial Crisis," School of Economics and Public Policy Working Papers 2005-07, University of Adelaide, School of Economics and Public Policy.
- repec:bla:germec:v:8:y:2007:i::p:399-427 is not listed on IDEAS
- Pontines, Victor & Siregar, Reza, 2007. "The Yen, the US dollar, and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?," Japan and the World Economy, Elsevier, vol. 19(2), pages 214-235, March.
- Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 19-49, August.
- Sornette, Didier, 2001. "Fokker–Planck equation of distributions of financial returns and power laws," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 290(1), pages 211-217.
- Lim, G.C. & Martin, G.M. & Martin, V.L., 2006. "Pricing currency options in the presence of time-varying volatility and non-normalities," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 291-314, July.
- Ahmet Akca & Ethem Çanakoğlu, 2021. "Adaptive stochastic risk estimation of firm operating profit," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 48(3), pages 463-504, September.
- Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics.
- Georges, Christophre, 2006. "Learning with misspecification in an artificial currency market," Journal of Economic Behavior & Organization, Elsevier, vol. 60(1), pages 70-84, May.
- Taisei Kaizoji, 2005. "Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices," Papers physics/0506114, arXiv.org.
- D. Sornette, 2000. ""Slimming" of power law tails by increasing market returns," Papers cond-mat/0010112, arXiv.org, revised Sep 2001.
- Frenkel Michael & Stadtmann Georg, 2004. "Trading Rule Profitability and Central Bank Interventions in the Dollar-Deutsch mark Market / Der Zusammenhang zwischen der Profitabilität einer technischen Handelsstrategie und Zentralbankinterventio," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(6), pages 653-672, December.
- 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.
- Niango Ange Joseph Yapi, 2020. "Exchange rate predictive densities and currency risks: A quantile regression approach," EconomiX Working Papers 2020-16, University of Paris Nanterre, EconomiX.
- Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2005. "Japanese and U.S. interventions in the yen/U.S. dollar market: estimating the monetary authorities' reaction functions," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 680-698, September.
- Reza Siregar & Victor Pontines, 2004. "Successful and Unsuccessful Attacks: Evaluating the Stability of the East Asian Currencies," Centre for International Economic Studies Working Papers 2004-04, University of Adelaide, Centre for International Economic Studies.
- Adrián Carro & Raúl Toral & Maxi San Miguel, 2015. "Markets, Herding and Response to External Information," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-28, July.
- Anders Johansen & Didier Sornette, 2000. "The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash," Papers cond-mat/0004263, arXiv.org, revised May 2000.
- J. Lussange & A. Belianin & S. Bourgeois-Gironde & B. Gutkin, 2018. "A bright future for financial agent-based models," Papers 1801.08222, arXiv.org.
- Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers 1426, Kiel Institute for the World Economy (IfW Kiel).
- Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008-08, Christian-Albrechts-University of Kiel, Department of Economics.
- Lucas, André, 1997. "Strategic and tactical asset allocation and the effect of long-run equilibrium relations," Serie Research Memoranda 0042, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Luis Goncalves de Faria, 2022. "An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation," Papers 2206.09772, arXiv.org.
- Vladimir Filimonov & Didier Sornette, 2014. "Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns," Papers 1407.5037, arXiv.org, revised Apr 2015.
- repec:wyi:journl:002068 is not listed on IDEAS
- Y. Malevergne & D. Sornette, 2001. "Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation," Papers cond-mat/0101371, arXiv.org.
- Alexander Shapovalov & Andrey Trifonov & Elena Masalova, 2008. "Nonlinear Fokker-Planck Equation in the Model of Asset Returns," Papers 0804.0900, arXiv.org.
- Sebastian Edwards & Miguel A. Savastano, 2000. "The Mexican Peso in the Aftermath of the 1994 Currency Crisis," NBER Chapters, in: Currency Crises, pages 183-236, National Bureau of Economic Research, Inc.