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News-based uncertainty measures and returns on prices of precious metals : evidence from regime switching and time-varying causality approach
Adeosun, Opeoluwa Adeniyi; Adeosun, Olumide Adeola; … - In: Journal of economic studies 50 (2023) 2, pp. 173-200
Persistent link: https://www.econbiz.de/10014226466
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Price stability properties and volatility analysis of precious metals : an ICSS algorithm aqpproach
Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-15
market stock performances, we use the ICSS algorithm along with the GARCH model to evaluate how the number of rapid changes …
Persistent link: https://www.econbiz.de/10013471164
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Dynamic spillovers between commodity and currency markets
Antonakakis, Nikolaos; Kizys, Renatas - In: International review of financial analysis 41 (2015), pp. 303-319
Persistent link: https://www.econbiz.de/10011509000
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Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries
Chkir, Imed Eddine; Guesmi, Khaled; Brayek, Angham Ben; … - In: Research in international business and finance 54 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012581526
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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 … returns maylead to improved hedge behaviour within currency overlay management. …
Persistent link: https://www.econbiz.de/10010324963
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10011302131
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001
methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance … returns maylead to improved hedge behaviour within currency overlay management. …
Persistent link: https://www.econbiz.de/10011313921
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Determinants of the CNY/USD exchange rate : a simultaneous-equation model
Hsing, Yu - In: International journal of monetary economics and finance 8 (2015) 3, pp. 274-281
Persistent link: https://www.econbiz.de/10011502648
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Unemployment fluctuations and currency returns in the United Kingdom : Evidence from over one and a half century of data
Bathia, Deven; Demirer, Rıza; Gupta, Rangan; Kotzé, Kevin - In: Journal of multinational financial management 61 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012887858