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Dollarization And Exchange Rate Fluctuations

Honohan, Patrick - 2007

Although the worldwide growth in dollarization of bank deposits has recently slowed, it has already reached very high levels in dozens of countries. Building on earlier findings that allowed the main cross-country variations in the share of dollars to be explained in terms of national policies...

Persistent link: https://www.econbiz.de/10010521736

Investigating intraday interdependence between gold, silver and three major currencies : the euro, British pound and Japanese yen

Papadamou, Stephanos; Markopoulos, Thomas - In: International advances in economic research : IAER ; an … 20 (2014) 4, pp. 399-410

Persistent link: https://www.econbiz.de/10010532659

The restoration of the gold standard after the US Civil War : a volatility analysis

Meulemann, Max; Uebele, Martin; Wilfling, Bernd - In: Journal of financial stability 12 (2014), pp. 37-46

Persistent link: https://www.econbiz.de/10011285072

Conventions in the foreign exchange market : do they really explain exchange rate dynamics?

Filippo, Gabriele Di - 2010

exchange rate volatility. Eventually, the model offers a solution to the exchange rate disconnection puzzle. …

Persistent link: https://www.econbiz.de/10011373501

Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility

Bos, Charles S. - 2008

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

Persistent link: https://www.econbiz.de/10011374428

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

Persistent link: https://www.econbiz.de/10011302131

Hot money flows, cycles in primary commodity prices, and financial control in developing countries

McKinnon, Ronald I. - In: Frontiers of economics in China : selected publications … 10 (2015) 2, pp. 201-223

Persistent link: https://www.econbiz.de/10011304110

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006

This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...

Persistent link: https://www.econbiz.de/10011343243

Bitcoin, gold and the dollar : a GARCH volatility analysis

Dyhrberg, Anne Haubo - 2015

This paper sets out to explore the hedging capabilities of bitcoin by applying the asymmetric GARCH methodology used in investigation of gold. The results show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock Exchange Index. Additionally bitcoin can be used...

Persistent link: https://www.econbiz.de/10011347560

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - 2012

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the … latter period. Return co-movements and volatility spillovers show large variability though, and are positively associated …

Persistent link: https://www.econbiz.de/10011347744