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New estimates of time-varying currency betas : a trivariate BEKK approach
Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 42 (2014), pp. 128-139
Persistent link: https://www.econbiz.de/10010478223
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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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Implied betas for the Frankel-Wei regression framework
Kunkler, Michael - In: Economics letters 218 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10013466507
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Time-varying betas of sectoral returns to market returns and exchange rate movements
Karlsson, Hyunjoo Kim; Hacker, Scott - In: Applied financial economics 23 (2013) 13/15, pp. 1155-1168
Persistent link: https://www.econbiz.de/10010204788
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Estimating time-varying currency betas with contagion : new evidence from developed and emerging financial markets
Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the world economy : international journal of … 30 (2014), pp. 10-24
Persistent link: https://www.econbiz.de/10010462927
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Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70
Persistent link: https://www.econbiz.de/10010255469
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Currency carry trades and the conditional factor model
Sakemoto, Ryuta - In: International review of financial analysis 63 (2019), pp. 198-208
Persistent link: https://www.econbiz.de/10012207443
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Foreign exchange market response to pandemic-induced fear : evidence from (a)symmetric wild bootstrap likelihood ratio approach
Olasehinde-Williams, Godwin; Olanipekun, Ifedola; … - In: Journal of international trade & economic development : … 30 (2021) 7, pp. 988-1003
Persistent link: https://www.econbiz.de/10012624718
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Realized spill-over effects between stock and foreign exchange market : evidence from regional analysis
Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna - In: Global finance journal 28 (2015), pp. 24-37
Persistent link: https://www.econbiz.de/10011478085
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A hybrid joint moment ratio test for financial time series
Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998
. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …
Persistent link: https://www.econbiz.de/10011299968