In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

In this work, assuming as a model the Multifractional Processes with Random Exponent (MPRE), we propose a simulation algorithm able to replicate financial time series, specifically pertaining to the FX market. We show how, properly choosing the functional parameter of the MPRE, the simulated...

The present paper aims to analyze impacts of financial policy on the foreign currencies exchange rates. The study utilizes time series data analyses in order to reach better econometric model that may reflect the relationship between financial policy and foreign exchange rates in Sudan between...

The purpose of the study is to determine the impact of exchange rate on Balance of Payment, through investigation of Pakistan Economy. Thus in order to ascertain the volatility of exchange rates & its tendency on balance of payment, monthly data was collected of Exchange rate and Balance of...

This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the...

This paper examines quantile dependence and directional predictability between the foreign exchange market and the stock market in Korea. Instead of adopting a multivariate model such as a vector autoregressive model, a multivariate GARCH model or a combination of both models, we apply the...

We propose using the price range, a recently-neglected volatility proxy with a long histoy in finance, in the estimation of stochastic volatility models. We show both theoretically and empirically that the log range is approximately Gaussian, in sharp contrast to popular volatility proxies, such...

We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotic properties apply under the null...

We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models. The test statistic utilizes fully modified residuals to cancel the endogeneity and serial correlation biases, and we show that standard asymptotics apply. With i.i.d. Gaussian...

The study examines whether the long-run validity of PPP holds in some major advanced and developing economies. The study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology, and we are not aware of any study that has applied TVC...