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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …
Persistent link: https://www.econbiz.de/10003931070
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Multinational finance journal : MF ; quarterly … 16 (2012) 1/2, pp. 105-136
Persistent link: https://www.econbiz.de/10010257552
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Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
Caporale, Guglielmo Maria - 2016
-memory techniques, being particularly interested in volatility modelling and forecasting. Compared with previous studies using …
Persistent link: https://www.econbiz.de/10013004546
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Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
Caporale, Guglielmo Maria - 2010
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …
Persistent link: https://www.econbiz.de/10013144331
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Persistence in the Russian stock market volatility indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018
volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …
Persistent link: https://www.econbiz.de/10011903723
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Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021
This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...
Persistent link: https://www.econbiz.de/10012520863
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Exchange Rates and Oil Prices : A Multivariate Stochastic Volatility Analysis
Vo, Minh - 2011
volatility (MSV) and the multivariate conditional correlation GARCH (CC-MGARCH) framework to investigate the volatility … major findings. First, the volatility in each market is very persistent. It varies over time in a predictable manner …, conditioned on the past information. Second, the volatility in the oil market Granger-causes the volatility in the FX markets but …
Persistent link: https://www.econbiz.de/10013131145
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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017
This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...
Persistent link: https://www.econbiz.de/10011664417
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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017
This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...
Persistent link: https://www.econbiz.de/10011669019
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Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar
Ayala, Astrid; Blazsek, Szabolcs - In: SERIEs : Journal of the Spanish Economic Association 10 (2019) 1, pp. 65-92
Heteroscedasticity) volatility dynamics. DCS models are robust to extreme observations, whereas standard financial time series models are … observations, stochastic seasonality with dynamic amplitude, and volatility dynamics. These seasonality dynamics of the GTQ/USD are …
Persistent link: https://www.econbiz.de/10012033379