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Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...

Persistent link: https://www.econbiz.de/10011483824

Balance sheet effects on monetary and financial spillovers : the East Asian crisis plus 20

Aizenman, Joshua; Chinn, Menzie David; Itō, Hiro - 2016

Persistent link: https://www.econbiz.de/10011564414

How does EMU affect the dollar and the yen as international reserve and investment currencies?

Frenkel, Michael; Søndergaard, Jens - 1999

quantify the effects that EMU may exert on the roles of the dollar and the yen as the other major international currencies …. Estimates presented indicate that the euro may indeed lead to a significant decline in the market share of the dollar as an … assumption that the euro will achieve a reputation similar to that of the deutschmark before EMU. The projected shifts can be …

Persistent link: https://www.econbiz.de/10010503732

On the multifractal properties and the local multifractality sensitivity index of euro to Japanese yen foreign currency exchange rates

Stavroyiannis, Stavros; Nikolaidis, Vassilis; Makris, … - In: Global business & economics review 13 (2011) 1, pp. 93-103

Persistent link: https://www.econbiz.de/10009126414

Free lunch! : arbitrage opportunities in the foreign exchange markets

Itō, Takatoshi; Yamada, Kenta; Takayasu, Misako; … - 2012

Persistent link: https://www.econbiz.de/10009679692

Analysis of the intraday effects of economic releases on the currency market

Sun, Edward W.; Rezania, Omid; Račev, Svetlozar T.; … - In: Journal of international money and finance 30 (2011) 4, pp. 692-707

Persistent link: https://www.econbiz.de/10009268786

Asymmetric herding as a source of asymmetric return volatility

Park, Beum-jo - In: Journal of banking & finance 35 (2011) 10, pp. 2657-2665

Persistent link: https://www.econbiz.de/10009273272

Computational finance for stochastic volatility and correlation

Ma, Jun - In: Financial asset pricing : theory, global policy and dynamics, (pp. 123-152). 2011

Persistent link: https://www.econbiz.de/10009520341

The impact of the Bank of Japan’s news announcements on the Japanese Yen, US Dollar, and the Euro

Kurihara, Yutaka - In: Journal of applied finance & banking 2 (2012) 3, pp. 39-50

yen, US dollar, and the Euro interest rates. Whether or not the announcements from the monetary authorities impact the … do not occur, contrary to the usual cases. Moreover, an ongoing strange phenomenon is that Japanese yen appreciates …

Persistent link: https://www.econbiz.de/10009565386

Informational linkages among the major currencies in the EBS market : evidence from the spot rates of the Euro, Yen and Swiss franc

Kitamura, Yoshihiro - In: Japan and the world economy : international journal of … 24 (2012) 1, pp. 17-26

Persistent link: https://www.econbiz.de/10009583246