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Exchange rate volatility in Nigeria : consistency, persistency & severity analyses

Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …

Persistent link: https://www.econbiz.de/10011477452

Testing for long memory in volatility in the Indian Forex market

Kumar, Anoop S. - In: Economic annals 59 (2014) 203, pp. 75-90

Persistent link: https://www.econbiz.de/10010510863

Impact of currency futures on volatility in exchange rate : a study of Indian currency market

Kumar, Ashish - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 1, pp. 95-108

Persistent link: https://www.econbiz.de/10011761360

Modeling conditional heteroscedasticity and dorecasting in short term interest rate of KIBOR

Irfan, Mohammad; Irfan, Maria; Awais, Muhammad - In: International journal of economic perspectives : IJEP 4 (2010) 4, pp. 635-654

Persistent link: https://www.econbiz.de/10011587802

Forecasting energy futures volatility based on the unbiased extreme value volatility estimator

Kumar, Dilip - In: IIMB management review 29 (2017) 4, pp. 294-310

Persistent link: https://www.econbiz.de/10011879691

Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns

Doblas, Mark P.; Natarajan, Vinodh Kesavaraj; Sankar, … - In: Middle East journal of management : MEJM 10 (2023) 6, pp. 619-636

Persistent link: https://www.econbiz.de/10014424552

Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple

Soylu, Pınar Kaya; Okur, Mustafa; Çatıkkaş, Özgür; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/107, pp. 1-20

This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory …

Persistent link: https://www.econbiz.de/10012305060

Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices

Gao, Guangyuan; Ho, Kin-Yip; Shi, Yanlin - In: Pacific-Basin finance journal 61 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012494892

The volatility of Romanian exchange rate : a GARCH approach

Pelinescu, Elena; Diaconaşu, Delia-Elena - In: Review of economics & finance 5 (2015) 4, pp. 92-99

Persistent link: https://www.econbiz.de/10011411168

Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

's dynamic properties may lead to misestimation of the intraday spot volatility. …

Persistent link: https://www.econbiz.de/10011411344