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The Application of Error Correction Model in Forecasting Market Volatility on Emerging Currency Options Markets

Mielus, Piotr - 2015

The paper presents examples of application of error correction models (ECM) in forecasting daily changes of market volatility recorded on currency options markets in Poland, Hungary and South Africa. The models are based on the observed correlation between daily changes of spot rates and daily...

Persistent link: https://www.econbiz.de/10013020691

Fast and adaptive cointegration based model for forecasting high frequency financial time series

Arce, Paola; Antognini, Jonathan; Kristjanpoller … - In: Computational economics 54 (2019) 1, pp. 99-112

Persistent link: https://www.econbiz.de/10012134087

Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships

Pajor, Anna; Wróblewska, Justyna - In: Eurasian economic review : a journal in applied … 12 (2022) 3, pp. 427-448

Persistent link: https://www.econbiz.de/10013431511

Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks

Maatoug, Abderazak Ben - 2019

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...

Persistent link: https://www.econbiz.de/10012900291

The role of the U.S. exchange-rate equity market volatility on agricultural exports and forecasts

Addey, Kwame Asiam; Nganje, William - In: Canadian journal of agricultural economics : CJAE 71 (2023) 1, pp. 25-47

Persistent link: https://www.econbiz.de/10014310629

The recent effects of exchange rate on international trade

Choi, Myoung Shik - In: Prague economic papers : a bimonthly journal of … 26 (2017) 6, pp. 661-689

Persistent link: https://www.econbiz.de/10011780227

Empirical evidence of the monetary approach to the exchange rate determinants under a fully flexible regime : the case of Mexico

Gallegos-David, Alberto; Lorenzo-Valdes, Arturo; Trejo … - In: International journal of monetary economics and finance … 15 (2022) 1, pp. 35-57

Persistent link: https://www.econbiz.de/10013256803

Excess comovements between the euro/US dollar and pound sterling/US dollar exchange rates

Kühl, Michael - In: Applied economics 50 (2018) 34/35, pp. 3664-3685

Persistent link: https://www.econbiz.de/10012059398

Is the effect of the exchange rate on stock prices symmetric or asymmetric? : evidence from Sudan

Mohamed, Omer Ahmed Sayed; Elmahgop, Faiza Omer Mohammed - In: International journal of economics and financial issues … 10 (2020) 2, pp. 209-215

Persistent link: https://www.econbiz.de/10012215152

Exploring relationship between the stock price of Taiwan and the exchange rate : an autoregressive distributed lag model with a quantile regression

Hsu, Tzu-Kuang - In: International journal of economics and finance 8 (2016) 1, pp. 72-78

Persistent link: https://www.econbiz.de/10011427778

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