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Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence

Pérez Rodríguez, Jorge V.; Andrada Félix, Julián; … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012822266

Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets

Mensi, Walid; Hammoudeh, Shawkat; Ur Rehman, Mobeen; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012659807

Exchange rate risk and uncertainty and trade flows: asymmetric evidence from Asia

Bahmani-Oskooee, Mohsen; Akhtar, Parveen; Ullah, Sana; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/128, pp. 1-16

Very recently, the link between exchange rate volatility and trade flows has entered into a new direction in which … rate volatility on trade flows, the nonlinear models revealed significant effects. In some other cases, the opposite was …

Persistent link: https://www.econbiz.de/10012309080

Higher moment exchange rate exposure of S&P500 firms

Bianconi, Marcelo; Cai, Zhe - In: The North American journal of economics and finance : a … 42 (2017), pp. 513-530

Persistent link: https://www.econbiz.de/10011938192

Computational finance

Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

Persistent link: https://www.econbiz.de/10012309311

Variance swap replication : discrete or continuous?

Le Floc'h, Fabien - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-15

The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication...

Persistent link: https://www.econbiz.de/10011855148

The mediating effects of implied volatility and exchange rate on the U.S. tourism-growth nexus

Obi, Pat; Ogbeide, Godwin-Charles - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-16

the recently developed nonlinear autoregressive distributed lag cointegration technique. Tourism development is proxied by …

Persistent link: https://www.econbiz.de/10013161866

Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012304649

The impact of exchange rate volatility on exports in Vietnam : a bounds testing approach

Nguyen Thi Thuy Vinh; Trinh Thi Thuy Duong - In: Journal of risk and financial management : JRFM 12 (2019) 1/6, pp. 1-14

This paper investigates the impact of exchange rate volatility on exports in Vietnam using quarterly data from the … testing approach to the analysis of level relationships between effective exchange rate volatility and exports. Using the … results show that exchange rate volatility negatively affects the export volume in the long run, as expected. A depreciation …

Persistent link: https://www.econbiz.de/10011961686

Asymmetrical linkages between foreign exchange and stock markets : empirical evidence through linear and non-linear ARDL

Luqman, Rabia; Kouser, Rehana - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-13

The symmetrical relationship between currency and equity markets has gained much attention among academicians and policy makers in the recent era. Many studies conducted on this relationship have concluded that there is short-run relationship between these variables and found less evidence about...

Persistent link: https://www.econbiz.de/10011895619

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