This paper examines the statistical properties of daily PM10 in eight European capitals (Amsterdam, Berlin, Brussels, Helsinki, London, Luxembourg, Madrid and Paris) over the period 2014-2020 by applying a fractional integration framework; this is more general than the standard approach based on...

This paper investigates unemployment persistence in the 27 EU member states by applying fractional integration methods to quarterly data (both seasonally adjusted and unadjusted) from 2000q1 to 2020q4. The obtained evidence points to high levels of persistence in all cases. With seasonally...

We investigate the impact of the European Central Bank’s monetary policy communication during the press conference held after the monthly Governing Council meeting on the EUR-USD exchange rate in high-frequency. Based on the method of Content Analysis we construct communication indicators for...

This paper considers the question of the symmetry of inflation, exchange rate changes and GDP shocks between the EU15 and the new member countries. It applies a relatively new technique, the orthogonal GARCH model, which allows us to calculate a complete time varying correlation matrix for these...

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...

From Olsen Financial Studies data on the Euro-Dollar currency pair (2008-2010), we conduct a time-series analysis to explain the role of trading volume on exchange rate volatility (Mixture Distribution Hypothesis), taking into account non-linearity. We find evidence that the MDH holds in...

This paper considers the long memory volatility property in the daily return data of six major Asian exchange rates of KRW, SGD and INR in terms of USD and JPY. The daily returns generally are found to exhibit the widespread long memory volatility property and the FIGARCH model appears to be...

We propose a fundamentals-based econometric model for the weekly changes in the euro-dollar rate with the distinctive feature of mixing economic variables quoted at different frequencies. The model obtains good in-sample fit and, more importantly, encouraging out-of-sample forecasting results at...

The financial crisis and the debt crisis in Europe lead to pronounced swings of the $/€-exchange rate. The influence of this exchange rate uncertainty on exports is neither theoretically nor empirically unambiguous. Therefore, this investigation tries to find out what effect exchange rate...

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...