- and second-moment exchange rate exposure on individual firm value and the stock return volatility underlying exchange rate … equity financing cost. -- exchange rate exposure ; asymmetric currency exposure ; financial crises ; asymmetric volatility …

foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial … Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …

The aim of this paper is to analyze the effects of exchange rate volatility on international trade flows by using two … different approaches, the panel data analysis and fuzzy logic, and to compare the results. To a panel with the crosssection … in order to determine the effects of exchange rate volatility on bilateral trade flows of EU15 countries. The estimated …

estimation period 1977:1-2003:4 using three measures of volatility. In contrast to recent studies employing panel data, we do not …, including a generalized method of moments (GMM) and random coefficient (RC) estimation, are employed on panel data covering the …The relationship between exchange-rate volatility and aggregate export volumes for 12 industrial economies is examined …

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …