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Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates
Yi, Chae-Deug - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012632203
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Forecasting risk in the US Dollar exchange rate under volatility shifts
Anjum, Hassan; Malik, Farooq - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012664814
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Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models
Arellano, Miguel Ataurima; Perez Rodriguez, Gabriel - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012654810
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How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach
Chang, Hao Wen; Chang, Tsangyao - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014247010
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Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, Cathy W. S.; Wang, Zona; Songsak Sriboonchitta; … - In: The North American journal of economics and finance : a … 39 (2017), pp. 38-55
Persistent link: https://www.econbiz.de/10011878579
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Multilateral adjustment, regime switching and real exchange rate dynamics
Bailliu, Jeannine N.; Dib, Ali; Kano, Takashi; … - In: The North American journal of economics and finance : a … 27 (2014), pp. 68-87
Persistent link: https://www.econbiz.de/10010460903
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Nonlinearities in exchange rate determination in a small open economy : some evidence for Canada
Kempa, Bernd; Riedel, Jana - In: The North American journal of economics and finance : a … 24 (2013), pp. 268-278
Persistent link: https://www.econbiz.de/10009739644
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How does news sentiment impact asset volatility? : evidence from long memory and regime-switching approaches
Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American journal of economics and finance : a … 26 (2013), pp. 436-456
Persistent link: https://www.econbiz.de/10010367572
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Reexamining the time-varying volatility spillover effects : a Markov switching causality approach
Zheng, Tingguo; Zuo, Haomiao - In: The North American journal of economics and finance : a … 26 (2013), pp. 643-662
Persistent link: https://www.econbiz.de/10010370486
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Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
Tan, Chia-Yen; Koh, You-Beng; Ng, Kok-Haur; Ng, Kooi-Huat - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012821468