In light of the recent discussion regarding the measurement of uncertainty and its impact on economic activity, this paper derives forward-looking measures of uncertainty and directional expectations for the CHF/EUR exchange rate based on over-the-counter option data and analyses its impact on...

Since the early 1990s, Albania has adopted the flexible exchange rate regime. A vast empirical literature on exchange rate is focused on modeling its volatility. In contrast, this paper provides empirical analysis regarding the news impact on the EUR/ALL exchange rate volatility, using TGARCH...

In this paper we introduce new Dynamic Conditional Score (DCS) models for the Skew-Gen-t (Skewed Generalized t) and NIG (Normal-Inverse Gaussian) distributions as alternatives to the recent DCS models for the Student’s-t and EGB2 (Exponential Generalized Beta of the second kind) distributions,...

We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 - 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and...

We investigate RMB pricing differentials for onshore and offshore trading. Testing for long memory, we find strong persistence in the pricing differential. Hence, the Chinese FX market in its bipolar structure still lacks basic conditions for perfectly integrated markets.

The neutral band is the interval where deviations from Covered Interest Parity (CIP) are not considered meaningful arbitrage opportunities. The band is determined by transaction costs and risk associated to arbitrage. Seemingly large deviations from CIP in the foreign exchange markets for the US...

Under Hamilton (1989)’s type Markov regime switching framework, modified Cox-Ingersoll-Ross model is employed to study foreign exchange rate, where all parameters value depend on the value of a continuous time Markov chain. Basing on real data of some foreign exchange rates, the...

In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30...

This paper analyses the role of macroeconomic news surprises from different economies in explaining the behavior of exchange rates of Pak rupee. To study the extent of exchange rate fluctuations and variations explained by macroeconomic news and direction of similar news’ effect on different...

This paper examines the performance of several state-of-the-art deep learning techniques for exchange rate forecasting (deep feedforward network, convolutional network and a long short-term memory). On the one hand, the configuration of the different architectures is clearly detailed, as well as...