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Stock volatility, foreign exchange rate volatility and the global financial crisis

Chang, Kook-hyun; Cho, Kyung Yup; Hong, Min-goo - In: Journal of economic research 15 (2010) 3, pp. 249-272

Persistent link: https://www.econbiz.de/10008778134

Day-of-the-week anomaly : an illusion or a reality? ; evidence from Naira/Dollar exchange rates

Osabuohien-Irabor, Osarumwense - In: CBN journal of applied statistics 7 (2016) 1, pp. 311-332

), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …

Persistent link: https://www.econbiz.de/10011535278

Approximate Bayesian estimation of stochastic volatility in mean models using Hidden Markov Models: empirical evidence from stock Latin American markets

Abanto-Valle, Carlos A.; Rodriguez, Gabriel; Castro … - 2021 - Primera edición

Persistent link: https://www.econbiz.de/10013170523

Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index

Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18

During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....

Persistent link: https://www.econbiz.de/10012508859

Bayesian non-linear quantile effects on modelling realized kernels

Dong, Manh Cuong; Chen, Cathy W. S.; Asai, Manabu - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 981-995

Persistent link: https://www.econbiz.de/10014253335

Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates

Chkili, Walid; Aloui, Chaker; Nguyen, Duc Khuong - In: Journal of international financial markets, … 22 (2012) 4, pp. 738-757

Persistent link: https://www.econbiz.de/10009582536

Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate

Będowska-Sójka, Barbara - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 4, pp. 326-346

Persistent link: https://www.econbiz.de/10011962183

Day-of-the-week effect of major currency pairs : new evidences from investors' fear gauge

Singh, Vipul Kumar - In: The journal of asset management 20 (2019) 7, pp. 493-507

Persistent link: https://www.econbiz.de/10012155317

Improving volatility forecasts : evidence from range-based models

Fałdziński, Marcin; Fiszeder, Piotr; Molnár, Peter - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10014445632

Stock market volatility and exchange rates in emerging countries : a Markov-state switching approach

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Persistent link: https://www.econbiz.de/10009306830

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