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Forecasting exchange rate volatility in the presence of jumps

Busch, Thomas (contributor); … - 2005

We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns … using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample … implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized …

Persistent link: https://www.econbiz.de/10003795291

Dissecting currency momentum

Zhang, Shaojun - 2020

This paper shows that currency momentum, which cannot be explained by carry and dollar factors, summarizes the autocorrelation of these factors. Carry and dollar factors are strongly autocorrelated and only earn significantly positive excess returns following positive factor returns. Currency...

Persistent link: https://www.econbiz.de/10012244553

Foreign Exchange and the Capital Market Dynamics : New Evidence from Non-linear Autoregressive Distributed Lag Model

Omoregie, Osaretin Kayode - 2020

The purpose of this study was to investigate and analyze the relationship between foreign exchange and capital market dynamics in Nigeria from January 1999 to February 2018. The study deployed the Non-Linear-ARDL model to study the dynamics of exchange rate and the capital market in Nigeria. The...

Persistent link: https://www.econbiz.de/10012834326

Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates

Zhu, Ke; Li, Wai Keung; Yu, Philip L.H. - Volkswirtschaftliche Fakultät, … - 2014

This paper introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroskedasticity (BAR-GARCH). The proposed model, as an extension of the BAR model in Li et al. (2013), can capture the buffering phenomenon of time series in both conditional...

Persistent link: https://www.econbiz.de/10011112346

Foreign exchange and the capital market dynamics : new evidence from non-linear autoregressive distributed lag model

Omoregie, Osaretin Kayode; Olofin, Sodik Adejonwo; … - In: International journal of management, economics and … 9 (2020) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10012194765

GCC countries and the nexus between exchange rate and oil price : what wavelet decomposition reveals?

Bouoiyour, Jamal; Selmi, Refk - In: International journal of computational economics and … 5 (2015) 1, pp. 55-70

Persistent link: https://www.econbiz.de/10011317310

Modeling nonlinear Granger causality between the oil price and US dollar : a wavelet based approach

Benhmad, François - In: Economic modelling 29 (2012) 4, pp. 1505-1514

Persistent link: https://www.econbiz.de/10009667309

Modelling Australian dollar volatility at multiple horizons with high-frequency data

Long Hai Vo; Duc Hong Vo - In: Risks : open access journal 8 (2020) 3/89, pp. 1-16

Long-range dependency of the volatility of exchange-rate time series plays a crucial role in the evaluation of exchange … analysis. Findings from our analysis indicate that long-range dependence in volatility is observed and it is persistent across … horizons. However, this long-range dependence in volatility is most prominent at the horizon longer than daily. Policy …

Persistent link: https://www.econbiz.de/10012293280

Does gold act as a safe haven against exchange rate fluctuations? : the case of Pakistan rupee

Qureshi, Saba; Ur Rehman, Ijaz; Fiza Qureshi - In: Journal of policy modeling : JPMOD ; a social science … 40 (2018) 4, pp. 685-708

Persistent link: https://www.econbiz.de/10012053515

Do co-jumps impact correlations in currency markets?

Barunik, Jozef; Vacha, Lukas - In: Journal of financial markets 37 (2018), pp. 97-119

Persistent link: https://www.econbiz.de/10012001025

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