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Bariş' ın iktisadi etkisi: Birinci Dünya Savaşı' nın son günlerinde Osmanlı İmparatorluğu'nda iktisadi yaşam

Hanedar, Avni Önder; Aslan, Deniz - 2017

-i Efkar and Vakit, in addition to data of foreign exchange rates and prices in the çIstanbul Bourse, this paper examines how …

Persistent link: https://www.econbiz.de/10011882665

Endogenous uncertainty: A unified view of market volatility

Kurz, Mordecai - 1997

reviews four basic problems which have constituted puzzles or anomalies in REE : (i) Why are asset prices much more volatile … and the equity risk premium so low? (iii) Why do asset prices exhibit the "GARCH" behaviour without exogenous fundamental … phenomenon of time varying variance of asset prices is explained in the simulation model by the presence of both persistence in …

Persistent link: https://www.econbiz.de/10011608344

Management of the External Value of the Renminbi

Oksanen, Heikki - 2015

Pegging the renminbi (RMB) to the US dollar since 1994 has characterised China’s exchange rate policy, under either a fixed peg or appreciating crawling peg. The current policy, announced in June 2010, of ‘floating with reference to a basket’ has now in April 2015 made the RMB 19 per cent...

Persistent link: https://www.econbiz.de/10010531800

Financialisation in currency, energy and residential property markets

Evans, Trevor; Herr, Hansjörg - 2016

The markets for foreign exchange, energy and residential housing have all been strongly affected by the deregulation and expansion of the financial sector. As a result, they have begun to follow the logic of asset markets. This was especially marked in the case of the foreign exchange market...

Persistent link: https://www.econbiz.de/10011431824

Pegging the Renminbi to a basket: Facts, prospects and consequences

Oksanen, Heikki - 2010

On 19 June 2010 the Chinese authorities announced that the renminbi (RMB) was henceforth to be pegged to a currency basket. Yet, it has quite closely followed the USD, though having appreciated by 2.7 % by the time of writing. At the G20 Seoul Summit on 11-12 November 2010, China committed to...

Persistent link: https://www.econbiz.de/10010274952

Do both US and foreign macro surprises matter for the intraday exchange rate? Evidence from Japan

Fatum, Rasmus; Hutchison, Michael; Wu, Thomas - 2008

No previous study has considered the intraday JPY/USD exchange rate responses to a broad set of comparable news surprises from both the U.S. and Japan. We attempt to fill this gap in the literature by investigating the effects of both U.S. and Japanese news surprises, measured as the difference...

Persistent link: https://www.econbiz.de/10010285337

Nonparametric lag selection for time series

Tschernig, Rolf; Yang, Lijian - 1997

A nonparametric version of the Final Prediction Error (FPE) is proposed for lag selection in nonlinear autoregressive time series. We derive its consistency for both local constant and local linear estimators using a derived optimal bandwidth. Further asymptotic analysis suggests a greater...

Persistent link: https://www.econbiz.de/10010310796

Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan

Fatum, Rasmus; Hutchison, Michael; Wu, Thomas - 2009

We investigate the effects of both U.S. and Japanese news surprises, measured as the difference between macroeconomic announcements and preceding survey expectations, on the intraday JPY/USD exchange rate. No previous study has considered the intraday JPY/USD exchange rate responses to a broad...

Persistent link: https://www.econbiz.de/10010320991

Forex Exchange Rate Forecasting Using Deep Recurrent Neural Networks

Dautel, Alexander J.; Härdle, Wolfgang Karl; Lessmann, … - 2019

Deep learning has substantially advanced the state-of-the-art in computer vision, natural language processing and other elds. The paper examines the potential of contemporary recurrent deep learning architectures for nancial time series forecasting. Considering the foreign exchange market as...

Persistent link: https://www.econbiz.de/10012433222

Forex exchange rate forecasting using deep recurrent neural networks

Dautel, Alexander Jakob; Härdle, Wolfgang Karl; … - 2020

Deep learning has substantially advanced the state of the art in computer vision, natural language processing, and other fields. The paper examines the potential of deep learning for exchange rate forecasting. We systematically compare long short- term memory networks and gated recurrent units...

Persistent link: https://www.econbiz.de/10012433250

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