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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10013082343

Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks

Maatoug, Abderazak Ben - 2019

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility … of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR …' realized volatility. From the Bai – Perron test, we found structural breakpoints that match significant events in financial …

Persistent link: https://www.econbiz.de/10012900291

Currency substitution and exchange rate volatility in Nigeria : an autoregressive distributed lag approach

Ajibola, Isaiah O.; Udoette, Sylvanus U.; Muhammad, Rabia A. - In: CBN journal of applied statistics 11 (2020) 2, pp. 1-28

This study investigates the relationship between exchange rate volatility and cur-rency substitution in Nigeria, using … addition, there is empirical supportfor a positive relationship between exchange rate volatility and currency substitu … incontaining exchange rate volatility and inflation as a way of curbing the spate ofcurrency substitution in the country. …

Persistent link: https://www.econbiz.de/10012513264

Gold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008 : application of NARDL model with dynamic multipliers for evidences beyond symmetry

Asad, Muzaffar; Tabash, Mosab I.; Sheikh, Umaid A.; … - In: Cogent business & management 7 (2020) 1, pp. 1-30

The primary objective of this research article is to investigate the asymmetrical linkages between gold-oil-exchange rates and Bombay stock indexes by utilizing a nonlinear ARDL approach covering the period from April 2003 to May 2020. Time-series data is divided into three different types of...

Persistent link: https://www.econbiz.de/10012654807

Volatility spillover between exchange rate and stock returns under volatility shifts

Malik, Farooq - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 605-613

Persistent link: https://www.econbiz.de/10012655581

Can exchange rate volatility influence the export positively? : evidence from Turkey under the regime shifts

Bilgili, Faik; Ulucak, Recep; Soykan, Mehmet Erkan; … - In: Global business review 22 (2021) 3, pp. 588-611

Persistent link: https://www.econbiz.de/10012591288

Analyzing the Structural Breaks and the Exchange Market Turbulence on Volatility Spillovers Between Exchange Rates and Tehran Stock Exchange

Gholizadeh, Mohammadmehdi; Erfani, Alireza - 2021

This article has studied several fluctuations in the Iranian currency market and multiple turmoils in the economy that have not only wiped out Iranians private savings but also affected financial market activists to provide a better understanding of fluctuations' movement between markets. To...

Persistent link: https://www.econbiz.de/10013250208

Forecasting risk in the US Dollar exchange rate under volatility shifts

Anjum, Hassan; Malik, Farooq - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012664814

Long memory and fractional integration in high frequency data on the US Dollar

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013

. -- high frequency data ; long memory ; volatility persistence ; structural breaks …

Persistent link: https://www.econbiz.de/10009736739

A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility

Hillebrand, Eric T.; Schnabl, Gunther - 2021

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …

Persistent link: https://www.econbiz.de/10013317566