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

The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ), volatility (σ), shape (α … five-parameter VG model is a stochastic volatility model with a Γ(α,θ) Ornstein-Uhlenbeck type process; the associated Lévy …

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 …

, implying that the spread is reduced by the volume while it is increased by volatility and interest rates in the long run for …

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the … and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the … variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a …

This study was carried out to investigate the impact of the Ethiopian exchange rate and its volatility on international … investigate how international trade responds to exchange rate levels and volatility. The study relied solely on secondary time … the long-term relationship between exchange rate level, volatility, and international trade performance. An error …

. The development of international trade creates conditions where volatility comes with the exchange rate. The purpose of … this paper is to examine the effect of real effective exchange rate volatility on economic growth in the Central and … measurement of exchange rate volatility, is examined. The study uses annual data for fourteen CEE countries for the period 2002 …