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Distance-based nearest neighbour forecasting with application to exchange rate predictability
Kyriazi, Foteini; Thomakos, Dimitrios D. - In: IMA journal of management mathematics 31 (2020) 4, pp. 469-490
Persistent link: https://www.econbiz.de/10012314033
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Monetary model of exchange rate CZK/SKK and empirical evidence
Rublíková, Eva - In: Acta oeconomica Cassoviensia : scientific journal 9 (2005), pp. 205-214
Persistent link: https://www.econbiz.de/10003219881
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El comportamiento del tipo de cambio de la peseta : raíces unitarias, correlación serial y persistencia
Gámez Amián, Consuelo; Torres, José L. - In: Estadística española : revista del Instituto Nacional … 40 (1998) 143, pp. 73-110
Persistent link: https://www.econbiz.de/10001484350
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Testing for Random Walk Behavior in CIVETS Exchange Rates
Almudhaf, Fahad - 2020
This article investigates the random walk behavior of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa) foreign exchange rates against the US dollar using weekly data from February 2007 to April 2012. Using variance ratio tests, the results suggest that the nominal exchange...
Persistent link: https://www.econbiz.de/10012827380
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The stress-dependent random walk
Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
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Arch and garch models for daily exchange rate of SKK/USD
Rublíková, Eva - In: Ekonomické rozhl'ady 33 (2004) 3, pp. 314-323
Persistent link: https://www.econbiz.de/10002908838
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News and dollar exchange rate dynamics
Tivegna, Massimo - In: Rivista italiana degli economisti : the journal of the … 7 (2002) 1, pp. 3-48
Persistent link: https://www.econbiz.de/10003048283
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Which random walk best portrays the dynamics of the Japanese yen
Kung, James J.; Wu, E-Ching - In: Australian economic papers 53 (2014) 3/4, pp. 153-169
Persistent link: https://www.econbiz.de/10011292520
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Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina; Lux, Thomas - In: International journal of forecasting 39 (2023) 4, pp. 1678-1697
Persistent link: https://www.econbiz.de/10014465344
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Backtesting the evaluation of Value-at-Risk methods for exchange rates
Mrkvička, Tomáš; Krásnická, Martina; Friebel, Ludvík - In: Studies in economics and finance 40 (2023) 1, pp. 175-191
Persistent link: https://www.econbiz.de/10013503890