The persistency of correlation between currency futures : a macro perspective
Year of publication: |
2014
|
---|---|
Authors: | Zheng, Yao ; Osmer, Eric ; Liu, Jiashun |
Published in: |
International journal of economics and finance. - Toronto, ISSN 1916-971X, ZDB-ID 2531850-0. - Vol. 6.2014, 5, p. 17-25
|
Subject: | DCC model | conditional correlation | currency futures | macroeconomic | GARCH | Währungsderivat | Currency derivative | Korrelation | Correlation | ARCH-Modell | ARCH model | Volatilität | Volatility | Schätzung | Estimation | Schätztheorie | Estimation theory | Wechselkurs | Exchange rate |
-
Currency futures market in India : an empirical analysis of market efficiency and volatility
Nath, Golak Bihari, (2018)
-
Exchange rate comovements, hedging and volatility spillovers on new EU forex markets
Kočenda, Evžen, (2019)
-
Hamzaoui, Nessrine, (2016)
- More ...
-
Cyclical variations in the performance of exchange-traded funds
Zheng, Yao, (2012)
-
The Relation between Earnings and Price Momentum : Does it Vary Across Regimes?
Zheng, Yao, (2012)
-
The Relation between Earnings and Price Momentum : Does it Vary Across Regimes?
Zheng, Yao, (2013)
- More ...