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Nonejad, Nima - 2013

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

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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 …

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The volatility of Romanian exchange rate : a GARCH approach

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Structural change as an alternative to long memory in financial time series

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Testing for changes in volatility in heteroskedastic time series - a further examination

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Persistent link: https://www.econbiz.de/10002239756

On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks

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Volatility spillover between exchange rate and stock returns under volatility shifts

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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