메뉴 건너뛰기




Volumn 5, Issue , 2004, Pages 65-97

HOW SENSITIVE IS VOLATILITY TO EXCHANGE RATE REGIMES? - THE CASE OF CHILE

(1)  Fernández, Viviana a  

a NONE

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33748512393     PISSN: 15693767     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S1569-3767(05)05005-3     Document Type: Review
Times cited : (3)

References (21)
  • 1
    • 33748482110 scopus 로고    scopus 로고
    • Alizadeh, S., Brandt, M., & Diebold, F. (2001). Range-based estimation of stochastic volatility models. PIER Working Paper 01-007. Penn Institute for Economic Research, Department of Economics at the University of Pennsylvania.
  • 2
    • 0034386111 scopus 로고    scopus 로고
    • Testing the empirical performance of stochastic volatility models of the short-term interest rate
    • Bali T. Testing the empirical performance of stochastic volatility models of the short-term interest rate. Journal of Financial and Quantitative Analysis 35 (2000) 191-215
    • (2000) Journal of Financial and Quantitative Analysis , vol.35 , pp. 191-215
    • Bali, T.1
  • 3
    • 0009917854 scopus 로고    scopus 로고
    • The stochastic volatility of short-term interest rates: Some international evidence
    • Ball C., and Torous W. The stochastic volatility of short-term interest rates: Some international evidence. Journal of Finance 54 (1999) 2339-2359
    • (1999) Journal of Finance , vol.54 , pp. 2339-2359
    • Ball, C.1    Torous, W.2
  • 4
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (1986) 307-327
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 5
    • 49049143130 scopus 로고
    • The stochastic behavior of common stock variances: Value, leverage and interest rates effects
    • Christie A. The stochastic behavior of common stock variances: Value, leverage and interest rates effects. Journal of Financial Economics 10 (1982) 407-432
    • (1982) Journal of Financial Economics , vol.10 , pp. 407-432
    • Christie, A.1
  • 6
    • 33748484830 scopus 로고
    • Discussion: Stock market volatility and the crash of '87
    • Engle R. Discussion: Stock market volatility and the crash of '87. Review of Financial Studies 10 (1990) 525-577
    • (1990) Review of Financial Studies , vol.10 , pp. 525-577
    • Engle, R.1
  • 7
    • 84993924525 scopus 로고
    • Measuring and testing the impact of news on volatility
    • Engle R., and Ng V. Measuring and testing the impact of news on volatility. Journal of Finance 48 (1993) 1749-1778
    • (1993) Journal of Finance , vol.48 , pp. 1749-1778
    • Engle, R.1    Ng, V.2
  • 8
    • 0000194105 scopus 로고
    • The asymptotic distribution of the range of sums of independent random variables
    • Feller W. The asymptotic distribution of the range of sums of independent random variables. Annals of Mathematical Statistics 22 (1951) 427-432
    • (1951) Annals of Mathematical Statistics , vol.22 , pp. 427-432
    • Feller, W.1
  • 9
    • 33748493124 scopus 로고    scopus 로고
    • Franses, P., & van Dijk, D. (2000). Non-linear time series models in empirical finance. UK: Cambridge University Press.
  • 11
    • 84993601065 scopus 로고
    • On the relation between the expected value and the volatility of the nominal excess return on stocks
    • Glosten L., Jagannathan R., and Runkle D. On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 48 (1993) 1779-1801
    • (1993) Journal of Finance , vol.48 , pp. 1779-1801
    • Glosten, L.1    Jagannathan, R.2    Runkle, D.3
  • 13
    • 33749848531 scopus 로고
    • Use of cumulative sums of squares for retrospective detection of changes in variance
    • Inclan C., and Tiao G. Use of cumulative sums of squares for retrospective detection of changes in variance. Journal of the American Statistical Association 89 (1994) 913-923
    • (1994) Journal of the American Statistical Association , vol.89 , pp. 913-923
    • Inclan, C.1    Tiao, G.2
  • 14
    • 33748482538 scopus 로고    scopus 로고
    • Karatzas, I., & Shreve, S. (1991). Brownian motion and stochastic calculus. New York, NY: Springer Verlag.
  • 16
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: A new approach
    • Nelson D. Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59 (1990) 347-370
    • (1990) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.1
  • 17
    • 33748483412 scopus 로고    scopus 로고
    • Mills, T. (1999). The econometric modeling of financial time series (2nd ed.). Cambridge University Press.
  • 18
    • 84977707955 scopus 로고
    • Why does stock market volatility change over time?
    • Schwert G. Why does stock market volatility change over time?. Journal of Finance 44 (1989) 1115-1153
    • (1989) Journal of Finance , vol.44 , pp. 1115-1153
    • Schwert, G.1
  • 20
    • 33748489467 scopus 로고    scopus 로고
    • Taylor, S. (1986). Modeling financial time series. New York, NY: Wiley.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.