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Switching volatility in a nonlinear open economy

Benchimol, Jonathan; Ivashchenko, Sergey - In: Journal of international money and finance 110 (2021), pp. 1-31

Persistent link: https://www.econbiz.de/10012795525

Nonlinear causality between crude oil price and exchange rate : a comparative study of China and India

Bal, Debi Prasad; Rath, Badri Narayan - In: Energy economics 51 (2015), pp. 149-156

Persistent link: https://www.econbiz.de/10011564817

Nonlinear dynamics analysis of cryptocurrency price fluctuations based on Bitcoin

Tong, Zhongwen; Chen, Zhanbo; Zhu, Chen - In: Finance research letters 47 (2022) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10013553954

Asymmetry and long-memory volatility: Some empirical evidence using GARCH

Wen Cheong, Chin; Hassan Shaari Mohd Nor, Abu; Isa, Zaidi - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 651-664

This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data over a period of 1991–2005. The long-spanning data set enable us to examine piecewise before, during and after the economic crisis encountered in the Malaysian stock market. The...

Persistent link: https://www.econbiz.de/10010591197

Nonlinearities and cyclical behavior : the role of chartists and fundamentalists

Reitz, Stefan; Westerhoff, Frank H. - 2003

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows...

Persistent link: https://www.econbiz.de/10009765352