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Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies
Allen, David E.; McAleer, Michael; Shelton, Peiris; … - 2015
Persistent link: https://www.econbiz.de/10011432736
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Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011378229
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Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011443686
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin - 2010
for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of … Taiwan $ and Yen - New Taiwan $ exchange rates, and tourist arrivals from the world, USA and Japan to Taiwan, as well as … international tourist arrivals, daily data from 1 January 1990 to 31 December 2008 are used to model the world price and US$ - New …
Persistent link: https://www.econbiz.de/10013147805
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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - In: International review of economics & finance : IREF 59 (2019), pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
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Non-trading day effects in asymmetric conditional and stochastic volatility models
Asai, Manabu; McAleer, Michael - In: The econometrics journal 10 (2007) 1, pp. 113-123
Persistent link: https://www.econbiz.de/10003451750
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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
Persistent link: https://www.econbiz.de/10011432589
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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the London...
Persistent link: https://www.econbiz.de/10011301206
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Convergence and catching up in ASEAN : a comparative analysis
Lim, Lee K.; McAleer, Michael - In: Applied economics 36 (2004) 2, pp. 137-153
Persistent link: https://www.econbiz.de/10001898878
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Measuring the volatility in US treasury benchmarks and debt instruments
Hoti, Suhejla; Maasoumi, Esfandiar; McAleer, Michael; … - In: Econometric reviews 28 (2009) 6, pp. 522-554
Persistent link: https://www.econbiz.de/10003881186