Similar Search Results

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...

Persistent link: https://www.econbiz.de/10011669019

Mean aversion in and persistence of shocks to the US dollar : evidence from nine foreign currencies

Azar, Samih Antoine - In: International journal of economics and financial issues … 3 (2013) 3, pp. 723-733

Persistent link: https://www.econbiz.de/10010519398

The Canadian-US dollar exchange rate over the four decades of the post-Bretton Woods float : an econometric study allowing for structural breaks

Kurita, Takamitsu; James, Patrick - In: Metroeconomica : international review of economics 73 (2022) 3, pp. 856-883

Persistent link: https://www.econbiz.de/10013279939

Aggregate Trading Behaviour of Technical Models and the Yen/Dollar Exchange Rate 1976-2007

Schulmeister, Stephan - 2010

The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite profitably between 1976 and 2007. I then show that the...

Persistent link: https://www.econbiz.de/10013135725

Dollar Exchange Rate Volatility and Productivity Growth in Emerging Markets : Evidence from Firm Level Data

Eklou, Kodjovi - 2023

This paper examines the impact of Dollar exchange rate volatility on firm productivity in Emerging Markets economies … volatility reduces firm productivity growth. Exploring channels, its finds that the results are driven by countries with low … impact on firm productivty. Further, exploiting firm level data, the paper shows that dollar exchange rate volatility …

Persistent link: https://www.econbiz.de/10014350158

Heterogeneous expectations in the foreign exchange market evidence from the daily dollar

Ahrens, Ralf; Reitz, Stefan - 2003

In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...

Persistent link: https://www.econbiz.de/10009765353

Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form

Bos, Charles S.; Shephard, Neil G. - 2004

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …

Persistent link: https://www.econbiz.de/10011334849

Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB

Caporale, Guglielmo Maria - 2016

This paper investigates whether the RMB is in the process of replacing the US dollar as the anchor currency in nine ASEAN countries, and also the linkages between the ASEAN currencies and a regional currency unit. A long-memory (fractional integration) model allowing for endogenously determined...

Persistent link: https://www.econbiz.de/10012985392

Exchange Rate Linkages between the ASEAN Currencies, the US Dollar and the Chinese RMB

Caporale, Guglielmo Maria - 2016

Persistent link: https://www.econbiz.de/10012987031

Commodity Prices and the US Dollar

Rees, Daniel - 2023

In the aftermath of the Covid pandemic rising commodity prices went hand-in-hand with a strengthening US dollar. This was a sharp contrast to the usual relationship between commodity prices and the dollar. This paper presents evidence that post-Covid correlation patterns could become more common...

Persistent link: https://www.econbiz.de/10014356958