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Can Central Bank interventions affect the exchange rate volatility? Multivariate GARCH approach using contrained nonlinear programming
C̜as̜kurlu, Tolga; Pinar, Mustafa C̜.; Altay-Salih, … - 2008
Persistent link: https://www.econbiz.de/10003753477
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Exchange rates and fractional integration revisited
Sephton, Peter S. - In: Applied financial economics letters 4 (2008) 4/6, pp. 383-387
Persistent link: https://www.econbiz.de/10003808147
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Essays on theoretical and empirical aspects of structural break models
Yabu, Tomoyoshi - 2006
Persistent link: https://www.econbiz.de/10003380112
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Exchange rate regime, real misalignment and currency crises
Holtemöller, Oliver; Mallick, Sushanta Kumar - In: Economic modelling 34 (2013), pp. 5-14
Persistent link: https://www.econbiz.de/10010360656
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Realized volatility as an instrument to official intervention
Barroso, João Barata Ribeiro Blanco - 2014
Persistent link: https://www.econbiz.de/10010471997
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The efficacy of intervention in a chaotic foreign exchange market : an empirical study in INR-USD exchange rate series
Sen, Chitrakalpa; Chakrabarti, Gagari - In: Decision 41 (2014) 4, pp. 399-410
Persistent link: https://www.econbiz.de/10010483861
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Testing for spurious causality (with an application to exchange rates)
Renault, Eric - 1994
Persistent link: https://www.econbiz.de/10000901028
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Filters and GARCH Methods for Nonstationary Sequences and the Effect of New Exchange Rate Regime
Lee, Jeo - 2010
After a long period of pegged, crawling or managed rates, Indonesia, Korea and Thailand have switched de jure to floating regimes after the 1997 Asian crisis. We focus on two issues: the volatility of exchange rates and the regime effect. Filters and GARCH type volatility models are applied to...
Persistent link: https://www.econbiz.de/10013139881
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Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention
Kitamura, Yoshihiro - In: Research in international business and finance 36 (2016), pp. 436-446
Persistent link: https://www.econbiz.de/10011594524
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Verifying the tunisian exchange regime stability in the post-revolution period by state-space models and high-frequency data
Bouabidi, Mohamed - In: African review of economics and finance : AREF : the … 15 (2023) 2, pp. 197-214
Persistent link: https://www.econbiz.de/10014637384