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Oil price volatility and US dollar exchange rate volatility of some oil-dependent economies
Donkor, Richard Agyabeng; Mensah, Lord; … - In: Journal of international trade & economic development : … 31 (2022) 4, pp. 581-597
Persistent link: https://www.econbiz.de/10013371168
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Bitcoin, gold and the dollar : a GARCH volatility analysis
Dyhrberg, Anne Haubo - 2015
This paper sets out to explore the hedging capabilities of bitcoin by applying the asymmetric GARCH methodology used in investigation of gold. The results show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock Exchange Index. Additionally bitcoin can be used...
Persistent link: https://www.econbiz.de/10011347560
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Effects of financial crises on the long memory volatility dependency of foreign exchange rates : the Asian crisis vs. the global crisis
Han, Young Wook - In: Journal of East Asian economic integration 18 (2014) 1, pp. 3-27
Persistent link: https://www.econbiz.de/10010347752
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Exchange rate volatility and its impact on the transaction costs of covered interest rate parity
Bhar, Ramprasad; Kim, Suk-Joong; Pham, Toan M. - In: Japan and the world economy : international journal of … 16 (2004) 4, pp. 503-525
Persistent link: https://www.econbiz.de/10002436354
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A test for volatility spillover with application to exchange rates
Hong, Yongmiao - In: Journal of econometrics 103 (2001) 1/2, pp. 183-224
Persistent link: https://www.econbiz.de/10001585360
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On the intraday dynamics of oil price and exchange rate : what can we learn from China and India?
Ahmad, Wasim; Prakash, Ravi; Uddin, Mohammed Gazi Salah; … - In: Energy economics 91 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012518662
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Cross-time-frequency analysis of volatility linkages in global currency markets : an extended framework
Baklaci, Hasan Fehmi; Yelkenci, Tezer - In: Eurasian economic review : a journal in applied … 12 (2022) 2, pp. 267-314
Persistent link: https://www.econbiz.de/10013263368
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Effects of financial crises on the long memory volatility dependency of foreign exchange rates : the asian crisis vs. the global crisis
Han, Young Wook - In: Journal of East Asian economic integration 18 (2014) 1, pp. 3-27
This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns …-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated … returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility …
Persistent link: https://www.econbiz.de/10011568197
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On the risk comovements between the crude oil market and U.S. dollar exchange rates
Truchis, Gilles de; Keddad, Benjamin - In: Economic modelling 52 (2016), pp. 206-215
Persistent link: https://www.econbiz.de/10011645629
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Bitcoin, gold and the dollar : a GARCH volatility analysis
Dyhrberg, Anne Haubo - In: Finance research letters 16 (2016), pp. 85-92
Persistent link: https://www.econbiz.de/10011655125