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A study of volatility spillover across select foreign exchange rates in India using dynamic conditional correlations
Patnaik, Anuradha - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 28-47
Persistent link: https://www.econbiz.de/10010338354
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Multivariate analysis of East African currency exchange rate dynamics
Shiferaw, Yegnanew A. - In: Annals of economics and finance 20 (2019) 2, pp. 587-610
Persistent link: https://www.econbiz.de/10012175620
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Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán, Carlos - 2009
This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...
Persistent link: https://www.econbiz.de/10010322599
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10010324426
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001
methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …
Persistent link: https://www.econbiz.de/10010324963
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Minor Nuisance Around Foreign Exchange Markets - Lessons from the Stability and Growth Pact Debate
Bauer, Matthias; Zenker, Martin - 2012
This paper studies the impact of political events that systematically undermined the Stability and Growth Pact (SGP) on the euro's foreign exchange expectation bias for the period 2001 to 2005. Our findings suggest that euro foreign exchange markets were attentive to the political dispute over...
Persistent link: https://www.econbiz.de/10010334518
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric; Schnabl, Gunther - 2006
intervention. Based on a GARCH framework and change point detection, we test for a structural break in the effectiveness of …
Persistent link: https://www.econbiz.de/10011604696
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Foreign exchange intervention : theory and evidence
Almekinders, Geert J. - 1995
Persistent link: https://www.econbiz.de/10000539744
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Exchange rate volatility and US commodity trade with the rest of the world
Bahmani-Oskooee, Mohsen; Ardalani, Zohre; Bolhasani, Marzieh - In: International review of applied economics 24 (2010) 5, pp. 511-532
Persistent link: https://www.econbiz.de/10008822753
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Minor nuisance around foreign exchange markets : lessons from the stability and growth pact debate
Bauer, Matthias; Zenker, Martin - 2011
This paper studies the impact of political events that systematically undermined the Stability and Growth Pact (SGP) on the euro's foreign exchange expectation bias for the period 2001 to 2005. Our findings suggest that euro foreign exchange markets were attentive to the political dispute over...
Persistent link: https://www.econbiz.de/10009569731