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Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
Chkili, Walid; Aloui, Chaker; Nguyen, Duc Khuong - In: Journal of international financial markets, … 22 (2012) 4, pp. 738-757
Persistent link: https://www.econbiz.de/10009582536
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Multinational finance journal : MF ; quarterly … 16 (2012) 1/2, pp. 105-136
Persistent link: https://www.econbiz.de/10010257552
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben (contributor) - In: Multinational finance journal : MF ; quarterly … 4 (2000) 3/4, pp. 159-179
Persistent link: https://www.econbiz.de/10001636380
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Intraday patterns in foreign exchange returns and realized volatility
Zhang, Hao - In: Finance research letters 27 (2018), pp. 99-104
Persistent link: https://www.econbiz.de/10012006752
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Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate
Będowska-Sójka, Barbara - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 4, pp. 326-346
Persistent link: https://www.econbiz.de/10011962183
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Time-varying effects of macroeconomic news on euro-dollar returns
Ben Omrane, Walid; Savaser, Tanseli; Welch, Robert L.; … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-20
Persistent link: https://www.econbiz.de/10012201385
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Four types of tail dependence structures between U.S. dollar index and S&P 500 stock returns : 1990-2019
Chang, Kuang-Liang; Lee, Chingnun; He, Chi-Wei - In: Applied economics letters 30 (2023) 16, pp. 2189-2194
Persistent link: https://www.econbiz.de/10014364640
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Some stylised facts about the exchange rate behaviour of Central European currencies
Vejmělek, Jan - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 24 (2016) 2, pp. 3-17
Persistent link: https://www.econbiz.de/10011537495
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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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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