Long memory cointegration and dynamic connectedness of volatility in US dollar exchange rates, with FOREX portfolio investment strategy
Isaac O. Ajao, Hammed A. Olayinka, Moruf A. Olugbode, OlaOluwa S. Yaya and Olanrewaju I. Shittu
| Year of publication: |
2023
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|---|---|
| Authors: | Ajao, Isaac O. ; Olayinka, Hammed A. ; Olugbode, Moruf A. ; Yaya, OlaOluwa S. ; Shittu, Olanrewaju I. |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 7.2023, 4, p. 646-664
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| Subject: | exchange rate volatility | Narrow-band frequency domain least squares | long memory cointegration | quantile connectedness | portfolio investment strategy | Volatilität | Volatility | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | US-Dollar | US dollar | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Portfolio-Investition | Foreign portfolio investment | Devisenmarkt | Foreign exchange market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2023031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015125396