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Empirical evidence of the monetary approach to the exchange rate determinants under a fully flexible regime : the case of Mexico

Gallegos-David, Alberto; Lorenzo-Valdes, Arturo; Trejo … - In: International journal of monetary economics and finance … 15 (2022) 1, pp. 35-57

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Optimal pairs trading with time-varying volatility

Li, Thomas Nanfeng; Tourin, Agnès - In: International journal of financial engineering 3 (2016) 3, pp. 1-29

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Excess comovements between the euro/US dollar and pound sterling/US dollar exchange rates

Kühl, Michael - In: Applied economics 50 (2018) 34/35, pp. 3664-3685

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The recent effects of exchange rate on international trade

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VEC-MSF models in Bayesian analysis of short- and long-run relationships

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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus (contributor) - 2007

relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious … specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …