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US real estate inflation prediction : exchange rates and net foreign assets

McGurk, Zachary - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 53-66

Persistent link: https://www.econbiz.de/10012416096

Predicting Crises in Turkey Using an Exchange Market Pressure Model and Four-Way Decomposition Analysis of Gross Capital Flows

Goksu, Gokhan; Kadioglu, Eyup; Kucukkocaoglu, Guray - 2022

This study examines quarterly macroeconomic data in an attempt to reveal crises experienced in Turkey from 1998 to 2013 using an exchange market pressure model and analyze gross capital flows using a four-way decomposition analysis during. The results indicate that the exchange market pressure...

Persistent link: https://www.econbiz.de/10013306114

Forecasting the Volatilities of Philippine Stock Exchange Composite Index Using the Generalized Autoregressive Conditional Heteroskedasticity Modeling

Etac, Novay Ann M. - 2019

This study was conducted to find an appropriate statistical model to forecast the volatilities of PSEi using the model Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using the R software, the log returns of PSEi is modeled using various ARIMA models and with the presence of...

Persistent link: https://www.econbiz.de/10012891948

Forecasting exchange rate volatility : GARCH models versus implied volatility forecasts

Pilbeam, Keith; Langeland, Kjell Noralf - In: International economics and economic policy : IEEP 12 (2015) 1, pp. 127-142

Persistent link: https://www.econbiz.de/10011375830

Forecasting models based on data analytics for predicting rice price volatility : a case study of the Sri Lankan rice market

Hathurusingha, Chanchala; Abdelhamid, Neda; Airehrour, David - In: Journal of information & knowledge management : JIKM 18 (2019) 1, pp. 1950006-1-1950006-20

Persistent link: https://www.econbiz.de/10012027153

Asymmetric impact of the COVID-19 pandemic on foreign exchange markets : evidence from an extreme quantile approach

Ngo Thai Hung; Xuan Vinh Vo - In: Economics and Business Letters : EBL 12 (2023) 1, pp. 20-32

Persistent link: https://www.econbiz.de/10014250446

Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Baba, Boubekeur; Sevil, Güven - In: Financial innovation : FIN 7 (2021), pp. 1-25

time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new …

Persistent link: https://www.econbiz.de/10012594935

Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach

Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...

Persistent link: https://www.econbiz.de/10011534717

Conditional heteroskedasticity in the volatility of asset returns

Ding, Yashuang - 2021

Persistent link: https://www.econbiz.de/10013262866

An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55

Persistent link: https://www.econbiz.de/10011583531

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