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Title:Risk-related asymmetries in foreign exchange markets Author(s):GALLO, Giampiero M.; PACINI, BarbaraDate:1995Type:Working PaperSeries/Number:EUI ECO; 1995/03
Title:Early News Is Good News: the Effects of Market Opening on Market Volatility Author(s):GALLO, Giampiero M.; PACINI, BarbaraDate:1998Citation:
- Studies In Nonlinear Dynamics And Econometrics, 1998, 2, 4, 115-131
Type:ArticleAbstract:In this paper, we examine the characteristics of market opening news and its impact on the estimated coefficients of the conditional volatility models of the GARCH class. We find that the differences between the opening ...
Title:Early news is good news : the effects of market opening on market volatility Author(s):GALLO, Giampiero M.; PACINI, BarbaraDate:1998Type:Working PaperSeries/Number:EUI ECO; 1998/03
Title:Time-varying/sign-switching risk perception on foreign exchange markets Author(s):GALLO, Giampiero M.; PACINI, BarbaraDate:1995Type:Working PaperSeries/Number:EUI ECO; 1995/45
Title:Time-varying/sign-switching risk perception on foreign exchange markets Author(s):GALLO, Giampiero M.; PACINI, BarbaraDate:1998Citation:
- International journal of finance & economics, 1998, Vol. 3, No. 3, pp. 241-259
Type:ArticleAbstract:In this paper we analyse the consequences of considering risk-augmented specifications of the relationship between spot and forward rates. Previous parametric specifications such as the GARCH-M provided disappointing results ...