Similar Search Results

An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components

Rodriguez, Gabriel; Ojeda Cunya, Junior Alex; Gonzáles … - In: Portuguese economic journal 18 (2019) 2, pp. 107-123

Persistent link: https://www.econbiz.de/10012111301

Evaluating volatility forecasts with ultra-high-frequency data : evidence from the Australian equity market

Zhang, Kai; De Mello, Lurion; Sadeghi, Mehdi - In: Theoretical economics letters 8 (2018) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011842038

Interaction between oil and US dollar exchange rate : nonlinear causality, time-varying influence and structural breaks in volatility

Wen, Fenghua; Xiao, Jihong; Huang, Chuangxia; Xia, Xiaohua - In: Applied economics 50 (2018) 3, pp. 319-334

Persistent link: https://www.econbiz.de/10011846847

The US dollar/euro exchange rate : structural modeling and forecasting during the recent financial crises

Morana, Claudio - In: Journal of forecasting 36 (2017) 8, pp. 919-935

Persistent link: https://www.econbiz.de/10011860924

The influence of intraday seasonality on volatility transmission pattern

Alemany, N.; Aragó Manzana, Vicent; Salvador, E. - In: Quantitative finance 19 (2019) 7, pp. 1179-1197

Persistent link: https://www.econbiz.de/10012194754

The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility

Hamzaoui, Nessrine; Regaieg, Boutheina - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1608-1615

Persistent link: https://www.econbiz.de/10011775273

Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate

Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390

volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods … by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be …-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the …

Persistent link: https://www.econbiz.de/10011765010

Modeling realized volatility with implied volatility for the EUR/GBP exchange rate

Rokicka, Anna; Kudła, Janusz - In: Journal of risk 23 (2021) 4, pp. 51-79

Persistent link: https://www.econbiz.de/10012593441

Modeling exchange rate volatility : application of the GARCH and EGARCH models

Epaphra, Manamba - In: Journal of mathematical finance 7 (2017) 1, pp. 121-143

Persistent link: https://www.econbiz.de/10011658449

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