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Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts

Andersen, Torben G. - 2008

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

Persistent link: https://www.econbiz.de/10012774886

Spillovers to exchange rates from monetary and macroeconomic communications events

Rossi, Enzo; Wolff, Vincent - 2020

Persistent link: https://www.econbiz.de/10012301935

Dynamic link between oil prices and exchange rates : a non-linear approach

Xu, Yang; Han, Liyan; Wan, Li; Yin, Libo - In: Energy economics 84 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012183369

Bitcoin, gold and the dollar : a GARCH volatility analysis

Dyhrberg, Anne Haubo - In: Finance research letters 16 (2016), pp. 85-92

Persistent link: https://www.econbiz.de/10011655125

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

Higher-order moment nexus between the US Dollar, crude oil, gold, and bitcoin

Zhang, Yi; Zhou, Long; Li, Yuxue; Liu, Fang - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014485587

Gold, silver, and the US dollar as harbingers of financial calm and distress

Dibooglu, Sel; Cevik, Emrah I.; Gillman, Max - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 200-210

Persistent link: https://www.econbiz.de/10014249099

Asymmetric impact of the COVID-19 pandemic on foreign exchange markets : evidence from an extreme quantile approach

Ngo Thai Hung; Xuan Vinh Vo - In: Economics and Business Letters : EBL 12 (2023) 1, pp. 20-32

Persistent link: https://www.econbiz.de/10014250446

Does Bitcoin hedge crude oil implied volatility and structural shocks? : a comparison with gold, commodity and the US Dollar

Das, Debojyoti; Le Roux, Corlise L.; Jana, R. K.; … - In: Finance research letters 36 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012483345

Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model

Klaassen, Franc - 1999

We analyze the time-dependence of exchange rate correlations using a new multivariate GARCH model. This model consists of two parts. First, we transform the exchange rate changes into their principal components and specify univariate GARCH models for all components. Second, we use the inverse of...

Persistent link: https://www.econbiz.de/10014192029