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Day-of-the-week anomaly : an illusion or a reality? ; evidence from Naira/Dollar exchange rates
Osabuohien-Irabor, Osarumwense - In: CBN journal of applied statistics 7 (2016) 1, pp. 311-332
), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …
Persistent link: https://www.econbiz.de/10011535278
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Modelling exchange rate volatility of Somali Shilling against US Dollar by utilizing GARCH models
Ali, Abdullahi Osman - In: International journal of economics and financial issues … 11 (2021) 2, pp. 35-39
Persistent link: https://www.econbiz.de/10012509707
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Modelling volatility of the exchange rate of the Naira to major currencies
David, Reuben O.; Dikko, Hussaini G.; Gulumbe, Shehu U. - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-29
-a-vis four other currencies. The impact of exogenous variables in modelling volatility is considered using both the GARCH (1 … indicate that the majority of the parameters are significant and that volatility is quite persistent. Furthermore, the results …
Persistent link: https://www.econbiz.de/10011661515
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Asymmetric impact of the COVID-19 pandemic on foreign exchange markets : evidence from an extreme quantile approach
Ngo Thai Hung; Xuan Vinh Vo - In: Economics and Business Letters : EBL 12 (2023) 1, pp. 20-32
Persistent link: https://www.econbiz.de/10014250446
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The impact of dollarisation on economic growth, investment, and trade
Bajrami, Fisnik - 2023
volatility, especially in the past decade. Nevertheless, dollarised countries benefit from higher levels of investment and trade …
Persistent link: https://www.econbiz.de/10014422437
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements
Conrad, Christian A. (contributor);  … - 2007
We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …
Persistent link: https://www.econbiz.de/10003763600
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Strong comovements of exchange rates : theoretical and empirical cases when currencies become the same asset
Kühl, Michael (contributor) - 2008
The aim of this paper is to detect periods in which two currencies can be classified as being theʺsameʺ asset. Two currencies can be treated as the same asset if their exchange rates vis-`a-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...
Persistent link: https://www.econbiz.de/10003776194
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Forecasting realized volatility by decomposition
Lanne, Markku (contributor) - 2006
Persistent link: https://www.econbiz.de/10003338294
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Volatility forecasts for the Mexican peso - U.S. dollar exchange rate : an empirical analysis of garch, option implied and composite forecast models
Benavides, Guillermo (contributor) - 2006
Persistent link: https://www.econbiz.de/10003317351