In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...

Purpose: The purpose of this study is to investigate the performance of Value-at-Risk (VaR) models for nine Middle East and North Africa Islamic indices using RiskMetrics and VaR parametric models. Design/methodology/approach: The authors test the performance of several VaR models using Kupiec...

This paper attempts to shed light on the effectiveness of central bank intervention through the noise trading channel. This channel suggests that central banks should intervene in highly volatile market periods and keep their interventions secret. We conduct an empirical study for the Reserve...