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Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...

Persistent link: https://www.econbiz.de/10010271372

Excess Comovements between the Euro/US Dollar and British Pound/US Dollar Exchange Rates

Kuehl, Michael - 2009

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange rates, i.e. we look for comovements of exchange rates which are stronger than implied by fundamentals. The results of the empirical analysis give evidence that excess comovements...

Persistent link: https://www.econbiz.de/10013154177

Exchange Rates, Natural Rates, and the Price of Risk

Kekre, Rohan; Lenel, Moritz - National Bureau of Economic Research - 2024

We study the source of exchange rate fluctuations using a general equilibrium model accommodating shocks in goods and financial markets. These shocks differ in their induced comovements between exchange rates, interest rates, and quantities. A calibration matching data from the U.S. and G10...

Persistent link: https://www.econbiz.de/10015072917

Oil, gold, US dollar and stock market interdependencies : a global analytical insight

Arfaoui, Mongi; Ben Rejeb, Aymen - In: European journal of management and business economics : … 26 (2017) 3, pp. 278-293

Persistent link: https://www.econbiz.de/10011823435

Nonlinear relationship between exchange rate volatility and economic growth

Phiri, Andrew - 2018

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

Persistent link: https://www.econbiz.de/10011870188

Câmbio De Longo Prazo Do Mil-Reis : Uma Abordagem Empírica Referente Às Taxas Contra a Libra Esterlina E O Dólar (1795-1913) (Long-Term Exchange Rates for the Mil-Reis: An Empirica...

Moura F., Heitor P. - 2012

Apresentam-se séries de taxas de câmbio nominais do mil-réis e do dólar frente à libra, e do mil-réis frente ao dólar. Para cada uma dessas relações, é construída uma série corrente, incluindo flutuações conjunturais, e outra de longo prazo, representando a tendência secular do...

Persistent link: https://www.econbiz.de/10013098040

Do Financial Market Variables Show (Symmetric) Indicator Properties Relative to Exchange Rate Returns?

Castren, Olli - 2021

This paper assesses the contemporaneous, leading and lagging indicator properties of financial market variables relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset prices, short-term portfolio flows and currency options...

Persistent link: https://www.econbiz.de/10013319183

Exchange rate volatility in Nigeria : consistency, persistency & severity analyses

Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …

Persistent link: https://www.econbiz.de/10011477452

Detecting multiple breaks in long memory : the case of US inflation

Hassler, Uwe; Meller, Barbara - 2011

Multiple structural change tests by Bei and Perron (1998) are applied to the regression by Demetrescu, Kuzin and Hassler (2008) in order to detect breaks in the order of fractional integration. With this instrument we tackle time-varying inflation persistence as an important issue for monetary...

Persistent link: https://www.econbiz.de/10009382958

Structural Breaks in U.S. Macroeconomic Time Series : A Bayesian Model Averaging Approach

Check, Adam - 2018

We investigate the evidence for structural breaks in the parameters of autoregressive models of U.S. post-war macroeconomic time series. There is substantial model uncertainty associated with such models, including uncertainty related to lag selection, the number of structural changes, and the...

Persistent link: https://www.econbiz.de/10012908055