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The forward market in the foreign exchange markets : volatility, forecasting ability, deviations from the covered interest rate parity and market efficiency

Chung, Chang K. - 1992

Persistent link: https://www.econbiz.de/10000909892

Forecasting exchange rate volatility : GARCH models versus implied volatility forecasts

Pilbeam, Keith; Langeland, Kjell Noralf - In: International economics and economic policy : IEEP 12 (2015) 1, pp. 127-142

Persistent link: https://www.econbiz.de/10011375830

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

Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach

Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...

Persistent link: https://www.econbiz.de/10011534717