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Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

's dynamic properties may lead to misestimation of the intraday spot volatility. …

Persistent link: https://www.econbiz.de/10011411344

Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate

Będowska-Sójka, Barbara - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 4, pp. 326-346

Persistent link: https://www.econbiz.de/10011962183

How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies

Wang, Xinyu; Qi, Zikang; Huang, Jianglu - In: Economic modelling 120 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014383984

Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula

Patton, Andrew J. - 2001

Linear correlation is only an adequate means of describing the dependence between two random variables when they are jointly elliptically distributed. When the joint distribution of two or more variables is not elliptical the linear correlation coefficient becomes just one of many possible ways...

Persistent link: https://www.econbiz.de/10014128296

Exchange Rates and Oil Prices : A Multivariate Stochastic Volatility Analysis

Vo, Minh - 2011

volatility (MSV) and the multivariate conditional correlation GARCH (CC-MGARCH) framework to investigate the volatility … major findings. First, the volatility in each market is very persistent. It varies over time in a predictable manner …, conditioned on the past information. Second, the volatility in the oil market Granger-causes the volatility in the FX markets but …

Persistent link: https://www.econbiz.de/10013131145

Multivariate periodic stochastic volatility models : applications to Algerian dinar exchange rates and oil prices modeling

Boussaha, Nadia; Hamdi, Faycal; Souam, Saïd - 2018

Persistent link: https://www.econbiz.de/10012240489

Total factor productivity growth and oil price volatility

Balashova, Svetlana P. - In: International journal of trade and global markets 14 (2021) 6, pp. 548-558

Persistent link: https://www.econbiz.de/10012693584

Macro wine in financial skins : the Oil-FX interdependence

Weber, Enzo (contributor) - 2008

This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of the relevant literature takes a financial markets perspective using daily data. The fast-running simultaneousimpacts are...

Persistent link: https://www.econbiz.de/10003727689

Volatility transmission between gold and oil futures under structural breaks

Ewing, Bradley T.; Malik, Farooq - In: International review of economics & finance : IREF 25 (2013), pp. 113-121

Persistent link: https://www.econbiz.de/10009693332

Extreme dependence between crude oil and stock markets in Asia-Pacific regions : evidence from quantile regression

Zhu, Huiming; Huang, Hui; Peng, Cheng; Yang, Yan - 2016

This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and...

Persistent link: https://www.econbiz.de/10011561029