Volatility, momentum, and time-varying skewness in foreign exchange returns

Journal of Business and Economic Statistics

Volumn 20, Issue 3, 2002, Pages 390-411

  Johnson, Timothy C ^a  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

Conditional skewness; Exchange rate dynamics; Stochastic volatility

Indexed keywords

EID: 0035998189     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500102288618522     Document Type: Article

References (31)

1. A model of investor sentiment
2. Why does the stock market fluctuate?
3. Dollar jump fears, 1984-1992: Distributional abnormalities implicit in currency futures options prices
4. Implied exchange rate distributions: Evidence from OTC options markets
5. Understanding the metropolis hastings algorithm
6. Markov chain Monte Carlo convergence diagnostics: A comparative review
7. Modelling short-term volatility with GARCH and HARCH models
8. Fluctuating confidence in stock Markets: Implications for returns and volatility
9. Asset pricing in a production economy with incomplete information
10. Further results on asset pricing with incomplete information
11. Estimation and testing in models containing both jump and conditional heteroscedasticity
12. Dividend variability and stock market swings
13. Do expected shifts in inflation affect estimates of the long-run fisher relation?
14. The term structure of interest rates in a partially observable economy
15. Model determination using sampling-based methods
16. Posterior predictive assessment of model fitness via realized discrepancies
17. Evaluating the accuracy of sampling-based approaches to calculating posterior moments
18. Simulation run length control in the presence of an initial transient
19. Recovering probabilities and risk aversion from options prices and realized returns
20. Return dynamics when persistence is unobservable
21. Posterior predictive p-values
22. Volatilities of different time resolutions-analyzing the dynamics of market components
23. How many iterations in the Gibbs sampler?
24. Quadratic ARCH models
25. Markov chains for exploring posterior distributions
26. Introduction to general state-space Markov chain theory
27. Stock market overreaction to bad news in good times: A rational expectations equilibrium model
28. How does information quality affect stock returns?
29. A model of intertemporal asset prices under asymmetric information