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Structural breaks and relative price convergence among US cities

Hegwood, Natalie D.; Nath, Hiranya K. - In: Journal of macroeconomics 36 (2013), pp. 150-160

Persistent link: https://www.econbiz.de/10009751110

A Jackknife Model Averaging Analysis of RMB Misalignment Estimates

Cheung, Yin-Wong - 2019

We adopt the Jackknife Model Averaging (JMA) technique to conduct a meta-regression analysis of 925 renminbi (RMB) misalignment estimates generated by 69 studies. The JMA method accounts for model selection and sampling uncertainties, and allows for non-nested model specifications and...

Persistent link: https://www.econbiz.de/10012861432

A Jackknife Model Averaging analysis of RMB misalignment estimates

Cheung, Yin-Wong; Wang, Wenhao - 2019

Persistent link: https://www.econbiz.de/10012103616

Modelling volatility of the exchange rate of the Naira to major currencies

David, Reuben O.; Dikko, Hussaini G.; Gulumbe, Shehu U. - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-29

-a-vis four other currencies. The impact of exogenous variables in modelling volatility is considered using both the GARCH (1 … indicate that the majority of the parameters are significant and that volatility is quite persistent. Furthermore, the results …

Persistent link: https://www.econbiz.de/10011661515

Exchange rate volatility in Nigeria : consistency, persistency & severity analyses

Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …

Persistent link: https://www.econbiz.de/10011477452

The Perils of Using Aggregate Data in Real Exchange Rate Estimations

Bertolotto, Manuel - 2016

The rate of mean-reversion in a country's real exchange rate (RER) is a key indicator to consider when discussing exchange rate policies in any country. In practice, this rate - known as the half-life - is commonly calculated using price aggregates, such as the consumer price index (CPI). I...

Persistent link: https://www.econbiz.de/10012977893

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10001656178

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10013082098

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

Persistent link: https://www.econbiz.de/10013082343

The impact of exchange rate volatility on trade : evidence for the Czech Republic

Babeckaja-Kucharcǔk, Oksana A. - 2014

This paper aims to quantify the impact of nominal exchange rate volatility on nominal trade flows with a particular …

Persistent link: https://www.econbiz.de/10010235255