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Structural breaks and GARCH models of exchange rate volatility : re-examination and extension

Hasanov, Akram Shavkatovich; Brooks, Robert; Abrorov, … - In: Journal of applied econometrics 39 (2024) 7, pp. 1403-1407

Persistent link: https://www.econbiz.de/10015156866

Mean aversion in and persistence of shocks to the US dollar : evidence from nine foreign currencies

Azar, Samih Antoine - In: International journal of economics and financial issues … 3 (2013) 3, pp. 723-733

Persistent link: https://www.econbiz.de/10010519398

Estimating volatility transmission between oil prices and the US Dollar exchange rate under structural breaks

Anjum, Hassan - In: Journal of economics and finance 43 (2019) 4, pp. 750-763

Persistent link: https://www.econbiz.de/10012385205

Forecasting risk in the US Dollar exchange rate under volatility shifts

Anjum, Hassan; Malik, Farooq - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012664814

Volatility spillover between exchange rate and stock returns under volatility shifts

Malik, Farooq - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 605-613

Persistent link: https://www.econbiz.de/10012655581

Forecasting tail risk of skewed financial returns having exponential-polynomial tails

Antwi, Albert; Gyamfi, Emmanuel Numapau; Adam, Anokye M. - In: Journal of forecasting 43 (2024) 7, pp. 2731-2748

Persistent link: https://www.econbiz.de/10015110551

Modeling volatility in the Gambian exchange rates : an ARMA-GARCH approach

Marreh, Sambujang; Olubusoye, Olusanya E.; Kihoro, John M. - In: International journal of economics and finance 6 (2014) 10, pp. 118-128

Persistent link: https://www.econbiz.de/10010422149

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 … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient …

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

Exchange rate uncertainty and FDI inflows : the case of Turkey

Polat, Burçak; Payaslıoğlu, Cem - In: Asia-Pacific journal of accounting & economics : APJAE 23 (2016) 1, pp. 112-129

Persistent link: https://www.econbiz.de/10011437715

The price of BitCoin : GARCH evidence from high frequency data

Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava - 2018

speculative demand equations in a GARCH framework using hourly data for the period 2013-2018. In line with the theoretical model …

Persistent link: https://www.econbiz.de/10011948479