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Applications of agent-based models and nonlinear econometrics in finance

Demary, Markus - 2010

financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial … determine their demands for foreign currency. The analysis comes to the result that small taxes levied on currency transactions …. The second part deals with the econometric estimation of speculative dynamics. I find empirical evidence for similar …

Persistent link: https://www.econbiz.de/10008664302

Episodic nonlinear event detection in the Turkish exchange rate market

Kiliç, Mustafa Ercan; Kara, Hakan - In: The empirical economics letters : a monthly … 13 (2014) 1, pp. 95-100

Persistent link: https://www.econbiz.de/10010392592

New developments in exchange rate economics

Sarno, Lucio (contributor); Taylor, Mark P. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001645260

Heterogeneous effects of foreign exchange appreciation on industrial output : Evidence from disaggregated manufacturing data

Bampi, Rodrigo Eduardo; Colombo, Jefferson - 2021

Real exchange rate fluctuations impact domestic economic activity throughout the trade and financial channels. Using granular data from the Brazilian manufacturing sector, we decompose the manufacturing sector into different sub-sectors according to their net exposures to international trade and...

Persistent link: https://www.econbiz.de/10013244638

Incorporating daily market uncertainty data into a conventional short-run dynamic model : the case of the black-market exchange rate in Iran

Valadkhani, Abbas; Nguyen, Jeremy; Hajargasht, Reza - In: Applied economics 51 (2019) 45, pp. 4982-4991

Persistent link: https://www.econbiz.de/10012197129

Nominal exchange rates and heterogeneous beliefs

Croitoru, Benjamin; Jiao, Feng; Lu, Lei - In: Journal of economic dynamics & control 166 (2024), pp. 1-25

Persistent link: https://www.econbiz.de/10015051215

Predicting exchange rate volatility in Brazil : an approach using quantile autoregression

Viola, Alessandra Pasqualina; Klotzle, Marcelo Cabus; … - 2017

Persistent link: https://www.econbiz.de/10011944952

Asymmetric impact of the COVID-19 pandemic on foreign exchange markets : evidence from an extreme quantile approach

Ngo Thai Hung; Xuan Vinh Vo - In: Economics and Business Letters : EBL 12 (2023) 1, pp. 20-32

Persistent link: https://www.econbiz.de/10014250446

Performance of CHEERs based equilibrium exchange rate of Pakistan

Bhatti, Muhammad Awais; Arshed, Noman; Haseeb, Muhammad - In: Inventi impact: international trade (2014) 1, pp. 4-30

Persistent link: https://www.econbiz.de/10010344920

In which exchange rate models do forecasters trust?

Hauner, D.; Yi, Chae-u; Takizawa, H. - In: Applied economics letters 21 (2014) 16/18, pp. 1302-1308

Persistent link: https://www.econbiz.de/10010467445