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Modelling exchange rate volatility of Somali Shilling against US Dollar by utilizing GARCH models
Ali, Abdullahi Osman - In: International journal of economics and financial issues … 11 (2021) 2, pp. 35-39
Persistent link: https://www.econbiz.de/10012509707
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Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar
Ayala, Astrid; Blazsek, Szabolcs - In: SERIEs : Journal of the Spanish Economic Association 10 (2019) 1, pp. 65-92
In this paper we introduce new Dynamic Conditional Score (DCS) models for the Skew-Gen-t (Skewed Generalized t) and NIG (Normal-Inverse Gaussian) distributions as alternatives to the recent DCS models for the Student’s-t and EGB2 (Exponential Generalized Beta of the second kind) distributions,...
Persistent link: https://www.econbiz.de/10012033379
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Common trends and common cycles in oil price and real exchange rate
Basnet, Hem C.; Vatsa, Puneet; Sharma, Subhash Chandra - In: Global economy journal : GEJ 14 (2014) 2, pp. 249-263
Persistent link: https://www.econbiz.de/10010384386
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The predictive ability of several models of exchange rate volatility
West, Kenneth D.; Cho, Dongchul - 1994
Persistent link: https://www.econbiz.de/10000884768
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Das Theorem der Kaufkraftparität : eine empirische Betrachtung unter dem Aspekt neuerer Verfahren der Zeitreihenanalyse
Holzer, Stefan - 1994
Persistent link: https://www.econbiz.de/10000890796
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The predictive ability of several models of exchange rate volatility
West, Kenneth D.; Cho, Dongchul - 1994 - Rev
Persistent link: https://www.econbiz.de/10000892226
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888
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An investigation of long range dependence in intra-day foreign exchange rate volatility
Henry, Mark S.; Payne, Richard - 1997
Persistent link: https://www.econbiz.de/10000961212
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Asymmetries and the forward premium puzzle
Coakley, Jerry; Fuertes, Ana María - 1999
Persistent link: https://www.econbiz.de/10001465704
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Linear and non-linear (non-)forecastability of high-frequency exchange rates
Brooks, Chris - In: Journal of forecasting 16 (1997) 2, pp. 125-145
Persistent link: https://www.econbiz.de/10001216402