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Modeling Exchange Rate Dependence Dynamics at Different Time Horizons

Dias, Alexandra - 2011

a dynamic specification for the correlation using the Fisher transformation. Applied to Euro/US dollar and Japanese Yen …

Persistent link: https://www.econbiz.de/10013132959

On the conditional dependence structure between oil, gold and USD exchange rates : Nested copula based GJR-GARCH model

Bedoui, Rihab; Braiek, Sana; Guesmi, Khaled; … - In: Energy economics 80 (2019), pp. 876-889

Persistent link: https://www.econbiz.de/10012173742

Oil price and exchange rate dependence in selected countries

Nandelenga, Martin Wafula; Simpasa, Anthony Musonda - 2020

Persistent link: https://www.econbiz.de/10012237689

A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility

Hillebrand, Eric; Schnabl, Gunther - In: International economics and economic policy : IEEP 5 (2008) 4, pp. 389-401

Persistent link: https://www.econbiz.de/10003801644

Interaction between oil and US dollar exchange rate : nonlinear causality, time-varying influence and structural breaks in volatility

Wen, Fenghua; Xiao, Jihong; Huang, Chuangxia; Xia, Xiaohua - In: Applied economics 50 (2018) 3, pp. 319-334

Persistent link: https://www.econbiz.de/10011846847

Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model

Klaassen, Franc - 1999

We analyze the time-dependence of exchange rate correlations using a new multivariate GARCH model. This model consists of two parts. First, we transform the exchange rate changes into their principal components and specify univariate GARCH models for all components. Second, we use the inverse of...

Persistent link: https://www.econbiz.de/10014192029

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2005

Persistent link: https://www.econbiz.de/10002851741

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006

, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using … formal decision to proceed with the euro was made in December 1996 and at the time of the actual introduction of the euro in …

Persistent link: https://www.econbiz.de/10011343243

The euro introduction and noneuro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - In: Applied financial economics 21 (2011) 1/3, pp. 95-116

Persistent link: https://www.econbiz.de/10009124660

Forecasting VaR using analytic higher moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45

Persistent link: https://www.econbiz.de/10010460001