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Do structural breaks in exchange rate volatility matter? Evidence from Asia-Pacific currencies
SU, Yongyang; LAU, Chi Keung Marco; BİLGİN, Mehmet … - In: Iktisat Isletme ve Finans 26 (2011) 304, pp. 57-78
Using the U.S. dollar exchange rate return series of three major Asia-Pacific currencies, this paper investigates the empirical relevance of structural breaks in exchange rate volatilities. We find significant evidence of structural breaks in the unconditional variances of all three exchange...
Persistent link: https://www.econbiz.de/10009150923
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Strong comovements of exchange rates : theoretical and empirical cases when currencies become the same asset
Kühl, Michael (contributor) - 2008
cointegration vector that is consistent with the triangular arbitrage condition. In a first step, it is theoretically derived under … forcointegration, i.e. deducing recursively. Thirdly, it applies the cointegration methodology within atriangular framework by … detecting cointegration between exchange rates that are not only denominated in U.S. dollars. And lastly, it shows that …
Persistent link: https://www.econbiz.de/10003776194
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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
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Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics
Nguyen, Viet Hoang - 2011
We generalize the portfolio shifts model advanced by Evans and Lyons (2002a; b), and develop the dynamic asymmetric portfolio shifts (DAPS) model by explicitly allowing for possible market under- and overreactions and for asymmetric pricing impacts of order flows. Using the Reuters D2000-1 daily...
Persistent link: https://www.econbiz.de/10013123839
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Stock Market Interactions and the Impact of Macroeconomic News - Evidence from High Frequency Data of European Futures Markets
Kräussl, Roman; Canto, Bea - 2023
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...
Persistent link: https://www.econbiz.de/10014352510
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TESTING FOR LONG MEMORY IN VOLATILITY IN THE INDIAN FOREX MARKET
Kumar, Anoop S. - In: Economic Annals 59 (2014) 203, pp. 75-75
This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013. In the first part of the analysis the presence of long-term dependence is...
Persistent link: https://www.econbiz.de/10011199682
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Market microstructure matters when imposing a Tobin tax—Evidence from the lab
Kirchler, Michael; Huber, Jürgen; Kleinlercher, Daniel - In: Journal of Economic Behavior & Organization 80 (2011) 3, pp. 586-602
Trading in FX markets is dominated by two microstructures: exchanges with market makers and OTC-markets without market makers. Using laboratory experiments we test whether the impact of a Tobin tax is different in these two market microstructures. We find that (i) in markets without market...
Persistent link: https://www.econbiz.de/10011048075
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Yin-yang volatility in scale space of price-time: a core structure of financial market risk
Pan, Heping - In: China Finance Review International 2 (2012) August, pp. 377-405
Purpose–The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets, in particular the foreign exchange markets as the first underlying applications. Design/methodology/approach–The volatility of the financial market price is usually defined...
Persistent link: https://www.econbiz.de/10010565828
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Analysis of the Intraday Effects of Economic Releases on the, Currency Market
Rezania, Omid; Račev, Svetlozar T.; Sun, Edward; … - 2010
Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...
Persistent link: https://www.econbiz.de/10008654275
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The microstructure of exchange rate management : FX intervention and capital controls in Brazil
Roure, Calebe de; Furniagiev, Steven; Reitz, Stefan - 2013
This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...
Persistent link: https://www.econbiz.de/10009783713