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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

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Forecasting exchange rate volatility : the superior performance of conditional combinations of time series and option implied forecasts

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Determinants of the CNY/USD exchange rate : a simultaneous-equation model

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PSO based time series models applied in exchange rate forecasting for business performance management

Chang, Jui-Fang; Kuo li cheng kung-ta hsüeh <T'ainan> - In: Electronic commerce research 14 (2014) 3, pp. 417-434

Persistent link: https://www.econbiz.de/10010468695

Modeling volatility in the Gambian exchange rates : an ARMA-GARCH approach

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Forecasting VaR using analytic higher moments for GARCH processes

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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 4 (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/10011476095