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Intraday Exchange Rate Volatility Transmissions Across QE Announcements

Kenourgios, Dimitris - 2015

of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The … empirical results indicate: (i) an increased volatility transmission from EUR to JPY and GBP around the ECB announcements, and … from GBP to EUR over the BoE announcements, (ii) the ECB and BoE announcements significantly increase the volatility of EUR …

Persistent link: https://www.econbiz.de/10013019181

Modeling Exchange Rate Volatility Using Realized GARCH

Xu, Junyue - 2014

We apply the Realized GARCH model in the foreign exchange market. With daily data, we find that the Realized GARCH model has better in-sample and out-of-sample performances than a standard GARCH or IGARCH model. On the other hand, GARCH gives better forecasts of conditional variances if weekly...

Persistent link: https://www.econbiz.de/10013046415

Impact of Macroeconomic Variables on Exchange Rate Volatility in India

N., Suresh - 2018

, Export and Purchasing Power Parity (PPP)) on Exchange Rate Volatility (USD to INR) in India. To analyze how this variables …

Persistent link: https://www.econbiz.de/10012931463

On the intraday dynamics of oil price and exchange rate : what can we learn from China and India?

Ahmad, Wasim; Prakash, Ravi; Uddin, Mohammed Gazi Salah; … - In: Energy economics 91 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012518662

Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates

Yi, Chae-Deug - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012632203

Hedging capabilities of Bitcoin for Asian currencies

Kinkyō, Takuji - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 1769-1784

Persistent link: https://www.econbiz.de/10013184385

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

Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

Caporale, Guglielmo Maria - 2010

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

Persistent link: https://www.econbiz.de/10013144331

Return, volatility and risk spillover from oil prices and the US dollar exchange rate to the Indian industrial sectors

Kumar, Dilip; Maheswaran, S. - In: Margin: the journal of applied economic research 7 (2013) 1, pp. 61-91

Persistent link: https://www.econbiz.de/10009738171

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - In: Journal of international financial markets, … 22 (2012) 5, pp. 1091-1109

Persistent link: https://www.econbiz.de/10010220182