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Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity-concavity indicators

Zhang, Qun; Sornette, Didier; Han, Liyan - In: Quantitative finance 22 (2022) 2, pp. 367-384

Persistent link: https://www.econbiz.de/10013167760

Dynamic dependence and risk spillovers between RMB onshore spot and offshore NDF markets

Lin, Juan; Wu, Ximing; Yang, Panye - In: Applied economics 54 (2022) 60, pp. 6850-6862

Persistent link: https://www.econbiz.de/10013494324

The influence of structural changes in volatility on shock transmission and volatility spillover among Iranian gold and foreign exchange markets

Shahrazi, Mohammad Mahdi; Elmi, Zahra Mila; Abounoori, … - In: Iranian economic review : journal of University of Tehran 18 (2014) 2, pp. 73-86

Persistent link: https://www.econbiz.de/10011455410

Structural change and long memory in volatility : new evidence from daily exchange rates

Beine, Michael; Laurent, Sébastien - In: Developments in forecast combination and portfolio choice, (pp. 145-157). 2001

Persistent link: https://www.econbiz.de/10001719131

Modelling South African Currency Crises as Structural Changes in the Volatility of the Rand

Duncan, Andrew Stuart - 2010

exchange market volatility. Due to increases in market uncertainty, crisis periods exhibit abnormally high levels of volatility …. By studying short-term changes in volatility dynamics, it is possible to identify the start and end dates of crisis … the volatility of rand returns between January 1994 and March 2009. Dummy variables controlling for the detected shifts in …

Persistent link: https://www.econbiz.de/10013138055

Risk dependence of CoVaR and structural change between oil prices and exchange rates : a time-varying copula model

Ji, Qiang; Liu, Bing-Yue; Fan, Ying - In: Energy economics 77 (2019), pp. 80-92

Persistent link: https://www.econbiz.de/10012306349

Structural Change and Long Range Dependence in Volatility of Exchange Rates : Either, Neither or Both?

Morana, Claudio; Beltratti, Andrea - 2013

In this paper we test for the existence of long memory and structural breaks in the realized variance process for the DM/US$ and Yen/US$ exchange rates. While long memory is evident in the actual processes, a structural break analysis reveals that this feature is partially explained by...

Persistent link: https://www.econbiz.de/10014061985