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Distribution of extreme changes in Asian currencies : tail index estimates and value-at-risk calculations

Aggarwal, Raj; Qi, Min - In: Applied financial economics 19 (2009) 13/15, pp. 1083-1102

This study examines the distribution of extreme values in daily currency changes for nine Asian countries. Using an improved estimator, extreme changes in Asian currencies can generally be represented by Frechet distributions. Our results are robust to the choice of the numeraire currency, the...

Persistent link: https://www.econbiz.de/10003886004

The forward exchange rate bias puzzle is persistent : evidence from stochastic and nonparametric cointegration tests

Aggarwal, Raj; Lucey, Brian M.; Mohanty, Sunil - In: The financial review : the official publication of the … 44 (2009) 4, pp. 625-645

Persistent link: https://www.econbiz.de/10003899958

Trading volume and exchange rate volatility : evidence for the sequential arrival of information hypothesis

Mougoué, Mbodja; Aggarwal, Raj - In: Journal of banking & finance 35 (2011) 10, pp. 2690-2703

Persistent link: https://www.econbiz.de/10009273268

Common stocastic trends among Caribbean currencies : evidence from Guyana, Jamaica, and Trinidad and Tobago

Aggarwal, Raj; Simmons, Walter Orlando - In: Journal of economics & business 60 (2008) 3, pp. 277-289

Persistent link: https://www.econbiz.de/10003749140

Purchasing power partity in the Eastern Caribbean Currency Union

Simmons, Walter Orlando; Aggarwal, Raj - In: The journal of developing areas 38 (2004/05) 2, pp. 155-169

Persistent link: https://www.econbiz.de/10002887433

Asymmetric impact of news on asset prices and exchange rates : empirical evidence for balance of trade announcements

Aggarwal, Raj; Schirm, David Craig - In: Selected international investment portfolios, (pp. 53-72). 1998

Persistent link: https://www.econbiz.de/10001472285

Asymmetric impact of trade balance news on asset prices

Aggarwal, Raj - In: Journal of international financial markets, … 8 (1998) 1, pp. 83-100

Persistent link: https://www.econbiz.de/10001246200

Balance of trade announcements and asset prices : influence on equity prices, exchange rates, and interest rates

Aggarwal, Raj - In: Journal of international money and finance 11 (1992) 1, pp. 80-95

Persistent link: https://www.econbiz.de/10001117874

Exchange rate exposure of Latin American firms : empirical evidence

Santillán Salgado, Roberto Joaquín; Núñez-Mora, … - In: Journal of multinational financial management 51 (2019), pp. 80-97

Persistent link: https://www.econbiz.de/10012314631

Exchange rates and stock prices : a study of the U. S. capital markets under floating exchange rates

Aggarwal, Raj - In: Akron business and economic review 12 (1981) 3, pp. 7-12

Persistent link: https://www.econbiz.de/10001798918