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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
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 … accurate determination of volatility. Since the changes in asset prices are not linear, volatilities in prices are determined …
Persistent link: https://www.econbiz.de/10012604258
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Assessing the effects of monetary shocks on exchange rate variability with a stylised econometric model of the UK
Smith, Peter N. - In: Private behaviour and government policy in …, (pp. 53-72). 1990
Persistent link: https://www.econbiz.de/10001277173
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Are exchange rates determined by macroeconomic factors?
Williams, Geoffrey Alan - In: Studies in quantitative macroeconomics, (pp. 7-[46]). 1997
Persistent link: https://www.econbiz.de/10001561850
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Fluctuations in foreign exchange markets
Aiba, Yukihiro; Hatano, Naomichi - In: Econophysics and sociophysics : trends and perspectives, (pp. 219-247). 2006
Persistent link: https://www.econbiz.de/10003388166
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A neoclassical explanation of nominal exchange rate volatility
Moore, Michael J.; Roche, Maurice J. - In: Exchange rate economics : where do we stand?, (pp. 63-85). 2005
Persistent link: https://www.econbiz.de/10002836134
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A theoretical approach to the effect of exchange rate volatility on exports : example of Turkey
Odabaşi, Yavuz - 2018
Persistent link: https://www.econbiz.de/10012166216
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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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Different approaches to stock market linkages : evidence from CEE-3 countries
Chocholatá, Michaela - In: Advances in applied business research : the L.A.B.S. …, (pp. 49-70). 2016
Persistent link: https://www.econbiz.de/10011489163
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Modelling volatillity and its implication for European economic integration
Hall, Stephen G. - In: New directions in macromodelling, (pp. 1-19). 2004
Persistent link: https://www.econbiz.de/10002717301
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An empirical analysis of Japanese interest rate swap spread
Shimada, Junji; Takahashi, Toyoharu; Miyakoshi, Tatsuyoshi - In: Recent advances in financial engineering 2011: …, (pp. 111-131). 2012
Persistent link: https://www.econbiz.de/10009573458