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Aggregate Trading Behaviour of Technical Models and the Yen/Dollar Exchange Rate 1976-2007

Schulmeister, Stephan - 2010

fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite …

Persistent link: https://www.econbiz.de/10013135725

Political Uncertainty, Exchange Rate Return and Volatility

Suleman, Muhammad Tahir - 2015

the volatility for over hundred countries around the world. We used the monthly political risk data from the International … governance. Further monthly volatility is constructed from the daily exchange rate returns within each month for the period of … the floating exchange rate. The results also confirm that there is more volatility in exchange rate when political …

Persistent link: https://www.econbiz.de/10013023799

Intraday Patterns in Foreign Exchange Returns and Realized Volatility

Zhang, Hao - 2018

foreign exchange returns are significantly related to realized volatility, which reflects risk attributable to order flow and …

Persistent link: https://www.econbiz.de/10014115465

The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns

Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023

We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...

Persistent link: https://www.econbiz.de/10014305726

High Frequency Deutsche Mark-US Dollar Returns : FIGARCH Representations and Non Linearities

Baillie, Richard - 2016

This article considers the use of the long memory volatility process, FIGARCH, in representing Deutschemark-US dollar … specification for both high frequency and daily returns data, with similar values of the long memory volatility parameter across …

Persistent link: https://www.econbiz.de/10013004295

Exchange rates and the global transmission of equity market shocks

Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021

We assess the role played by exchange rates in buffering or amplifying the propagation of shocks across international equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and, from a copula framework, we obtain the conditional...

Persistent link: https://www.econbiz.de/10012549999