We study the link between the volatility of exchange rates and interest rate differentials (IRD), motivated by the … volatility model, for which we detail an efficient estimation strategy based on Gaussian mixture sampling and a linearization of … the volatility process. We apply this approach to six currency pairs over the period from January 1999 to December 2017 …

the United States for the short-term USD/PLN currency pair exchange rate volatility. The main purpose of the research was … to indicate what macroeconomic data is important for the short-term USD/PLN exchange rate volatility. The following … economy and second could greater USD/PLN exchange rate volatility be observed during the COVID pandemic and has the war in …

shocks are highly theory-consistent; and (ii) the periods in which the SVARs suggest that particular shocks were especially …

The study empirically investigated the factors explaining the volatility of the bilateral exchange rate of the naira to … indicated that volatility of the naira exchange rate was characterised by clustering, strong leverage effect and moderate degree … reserves as well as economic growth were germane to dampening conditional volatility of the country’s exchange rate. It was …

due to taxation and how emergent properties from the interaction of traders like bubbles and crashes, excess volatility …, excess kurtosis and volatility clustering change. Numerical simulations reveal that under taxation traders abstain from short …-term trading in favour of longer investment horizons. This change in behavior leads to less excess volatility and diminishing …

investment horizons. This change in behavior leads to less volatility and less mispricings. When the tax rate exceeds a certain …

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

methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …