Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a … instability. However, there appears to be a strong positive (negative) relationship between returns in the FOREX and the frequency … methods (both parametric and non-parametric) are applied including ADF tests, Granger causality tests, correlation analysis …