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Exchange rate uncertainty and international portfolio flows : a multivariate GARCH-in-mean approach
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - In: Journal of international money and finance 54 (2015), pp. 70-92
Persistent link: https://www.econbiz.de/10011476078
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Assessing the CNH-CNY pricing differential : role of fundamentals, contagion and policy
Funke, Michael; Shu, Chang; Cheng, Xiaoqiang; Eraslan, … - In: Journal of international money and finance 59 (2015), pp. 245-262
Persistent link: https://www.econbiz.de/10011478339
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Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models
Caporale, Guglielmo Maria - 2018
This paper aims to select the best model or set of models for modelling volatility of the four most popular cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the exchange rates of each of these cryptocurrencies to...
Persistent link: https://www.econbiz.de/10012910938
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International portfolio flows and exchange rate volatility in emerging Asian markets
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - In: Journal of international money and finance 76 (2017), pp. 1-15
Persistent link: https://www.econbiz.de/10011788040