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Persistent link: https://www.econbiz.de/10009124660

Seasonal processes in the Euro-US Dollar daily exchange rate

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Financial instability and the short-term dynamics of volatility expectations

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Gold prices and exchange rates : a time-varying copula analysis

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Volatility transmission across markets : a multichain Markov switching model

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Volume and volatility in foreign exchange market microstrucutre : a Markov switching approach

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Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models

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Central bank intervention and exchange rate volatility in Pakistan : an analysis using GARCH-X model

Shah, Muhammad Kashif Ali; Hyder, Zulfiqar; Pervaiz, … - In: Applied financial economics 19 (2009) 16/18, pp. 1497-1508

Excessive exchange rate volatility has a deleterious effect on international financial flows, external trade … exchange rate volatility through intervention in the foreign exchange market. This article investigates the effectiveness of … exchange rate levels but also reduces the exchange rate volatility. It is also found that the short-term interest rate and the …

Persistent link: https://www.econbiz.de/10003886330

Sampling properties of criteria for evaluating GARCH volatility forecasts

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Forecasting volatility in the financial markets : a comparison of alternative distributional assumptions

Chuang, I.-yuan; Lu, Jin-ray; Lee, Pei-hsuan - In: Applied financial economics 17 (2007) 13/15, pp. 1051-1060

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