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Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-min - In: Energy economics 48 (2015), pp. 46-60

Persistent link: https://www.econbiz.de/10011533698

Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?

Herrera Aramburú, Andrés; Rodriguez, Gabriel - In: International journal of monetary economics and finance 9 (2016) 1, pp. 45-66

Persistent link: https://www.econbiz.de/10011548319

Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate

Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390

Persistent link: https://www.econbiz.de/10011556212

Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters : the importance of scheduled and unscheduled news announcemen...

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-min - In: International review of economics & finance : IREF 30 (2014), pp. 101-119

Persistent link: https://www.econbiz.de/10010490494

A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility

Hillebrand, Eric; Schnabl, Gunther - In: International economics and economic policy : IEEP 5 (2008) 4, pp. 389-401

Persistent link: https://www.econbiz.de/10003801644

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …

Persistent link: https://www.econbiz.de/10011476095

The volatility of Romanian exchange rate : a GARCH approach

Pelinescu, Elena; Diaconaşu, Delia-Elena - In: Review of economics & finance 5 (2015) 4, pp. 92-99

Persistent link: https://www.econbiz.de/10011411168

Structural change and long-range dependence in volatility of exchange rates : either, neither or both?

Morana, Claudio; Beltratti, Andrea - In: Journal of empirical finance 11 (2004) 5, pp. 629-658

Persistent link: https://www.econbiz.de/10002260298

Exchange rate variability and China's exports

Chou, Win-lin - In: Journal of comparative economics : the journal of the … 28 (2000) 1, pp. 61-79

Persistent link: https://www.econbiz.de/10001468801

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/10013082098