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Nonlinear time series and neural-network models of echange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - In: Risks : open access journal 4 (2016) 1, pp. 1-14

in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models …

Persistent link: https://www.econbiz.de/10011443686

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

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

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

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