Rehman, Mohd Ziaur; Tiwari, Aviral Kumar; Samontaray, … - In: Borsa Istanbul Review 22 (2022) 1, pp. 145-155
This study investigates the directional predictability of exchange rates in emerging markets. Using a cross-quantilogram model, we show that dependencies among emerging markets exchange rates are heterogeneous. Specifically, the Mexican peso, Brazilian real, and Turkish lira are leading emerging...