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ARCH models and an application on exchange rate volatility : ARCH and GARCH models
Kantar, Lokman - In: Handbook of research on emerging theories, models, and …, (pp. 287-300). 2021
by nonlinear methods. This chapter discusses the GARCH models (GARCH, GJR, EGARCH), which are nonlinear models, and tests … indicated that the GARCH (1,1) model successfully explained the volatility in the exchange rate. … currencies and financial assets of the countries. These sudden movements are called volatility. Sudden price changes in financial …
Persistent link: https://www.econbiz.de/10012604258
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Volatility spillover structure of stock and foreign exchange market between Korea, Japan, and Hong Kong
Susai, Masayuki - In: Global information technology and competitive financial …, (pp. 162-181). 2006
Persistent link: https://www.econbiz.de/10003380440
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Macroeconomic fundamentals and exchange rate dynamics in India : some survey results
Bhanumurthy, N. R. - In: Growth, equity, environment and population : economic …, (pp. 52-70). 2008
Persistent link: https://www.econbiz.de/10003718612
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Do we have robust GARCH models under different mean equations : evidence from exchange rates of Thailand?
Tanaporn Tungtrakul; Natthaphat Kingnetr; Songsak … - In: Robustness in econometrics, (pp. 599-613). 2017
Persistent link: https://www.econbiz.de/10011801995
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Information leadership and volatility spillover across the countries : a case of Indian and other Asian equity markets
Mukherjee, Kedar nath; Mishra, Ram Kumar - 2007
Persistent link: https://www.econbiz.de/10003753547
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Research on the spillover effect of RMB exchange rate fluctuation on the exchange rate of major countries along the "Belt and Road"
Maojia, Guo; Li, Fei - In: Studies on China's Special Economic Zones 5, (pp. 127-142). 2023
Persistent link: https://www.econbiz.de/10014309798
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A nonlinear approach for the determinants of exchange rate volatility : evidence from Turkey
Deniz, Pınar - In: Dynamic optics in economics : quantitative, …, (pp. 11-29). 2020
Persistent link: https://www.econbiz.de/10012888462
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Time varying nature of causality between exchange rate and uncertainties
Akkoç, Uğur - In: Dynamic optics in economics : quantitative, …, (pp. 45-59). 2020
Persistent link: https://www.econbiz.de/10012888470
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Real trading volume and price action in the foreign exchange markets
Lequeux, Pierre - In: Forecasting volatility in the financial markets, (pp. 187-199). 2007
Persistent link: https://www.econbiz.de/10003872907
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Trading belief : moments of exchange
Lightfoot, Geoff; Lilley, Simon - In: Belief and organization, (pp. 163-184). 2012
Persistent link: https://www.econbiz.de/10009658830