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A study of volatility spillover across select foreign exchange rates in India using dynamic conditional correlations
Patnaik, Anuradha - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 28-47
Persistent link: https://www.econbiz.de/10010338354
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Multivariate analysis of East African currency exchange rate dynamics
Shiferaw, Yegnanew A. - In: Annals of economics and finance 20 (2019) 2, pp. 587-610
Persistent link: https://www.econbiz.de/10012175620
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Exchange rate volatility in Nigeria: Consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN Journal of Applied Statistics 02 (2011) 2, pp. 29-49
examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …
Persistent link: https://www.econbiz.de/10011482561
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Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011482587
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A comparative analysis of exchange rate volatility in the West African Monetary Zone
Onanuga, Abayomi T.; Onanuga, Olaronke T. - In: CBN Journal of Applied Statistics 06 (2015) 2, pp. 161-185
This study employs measures of variability and three GARCH models to comparatively explore the behaviour of exchange …
Persistent link: https://www.econbiz.de/10011482622
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Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student's t-error distribution
Abdullah, S. M.; Siddiqua, Salina; Siddiquee, Muhammad … - In: Financial Innovation 3 (2017) 18, pp. 1-19
(GARCH), asymmetric power ARCH (APARCH), exponential generalized autoregressive conditional heteroscedstic (EGARCH …-of-sample volatility forecasting, AR(2)-GARCH(1, 1) is considered the best. …
Persistent link: https://www.econbiz.de/10011808257
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Foreign exchange intervention : theory and evidence
Almekinders, Geert J. - 1995
Persistent link: https://www.econbiz.de/10000539744
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Exchange rate volatility and US commodity trade with the rest of the world
Bahmani-Oskooee, Mohsen; Ardalani, Zohre; Bolhasani, Marzieh - In: International review of applied economics 24 (2010) 5, pp. 511-532
Persistent link: https://www.econbiz.de/10008822753
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Minor nuisance around foreign exchange markets : lessons from the stability and growth pact debate
Bauer, Matthias; Zenker, Martin - 2011
This paper studies the impact of political events that systematically undermined the Stability and Growth Pact (SGP) on the euro's foreign exchange expectation bias for the period 2001 to 2005. Our findings suggest that euro foreign exchange markets were attentive to the political dispute over...
Persistent link: https://www.econbiz.de/10009569731
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Mean aversion in and persistence of shocks to the US dollar : evidence from nine foreign currencies
Azar, Samih Antoine - In: International journal of economics and financial issues … 3 (2013) 3, pp. 723-733
Persistent link: https://www.econbiz.de/10010519398