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Timescale analysis with an entropy-based shift-invariant discrete wavelet transform

Bekiros, Stelios D. - In: Computational economics 44 (2014) 2, pp. 231-251

Persistent link: https://www.econbiz.de/10010438005

Expectation formation in the foreign exchange market : a time-varying heterogeneity approach using survey data

Prat, Georges; Uctum, Remzi - In: Applied economics 47 (2015) 34/36, pp. 3673-3695

Persistent link: https://www.econbiz.de/10011293469

Forecasting exchange rates : the time-varying relationship between exchange rates and Taylor rule fundamentals

Haskamp, Ulrich - 2017

There is empirical evidence for a time-varying relationship between exchange rates and fundamentals. Such a relationship with time-varying coefficients can be estimated by a Kalman filter model. A Kalman filter estimates the coefficients recursively depending on the prediction error of the...

Persistent link: https://www.econbiz.de/10011700704

Multivariate periodic stochastic volatility models : applications to Algerian dinar exchange rates and oil prices modeling

Boussaha, Nadia; Hamdi, Faycal; Souam, Saïd - 2018

Persistent link: https://www.econbiz.de/10012240489

A neural network enhanced volatility component model

Zhai, Jia; Cao, Yi; Liu, Xiaoquan - In: Quantitative finance 20 (2020) 5, pp. 783-797

Persistent link: https://www.econbiz.de/10012262620

Verifying the tunisian exchange regime stability in the post-revolution period by state-space models and high-frequency data

Bouabidi, Mohamed - In: African review of economics and finance : AREF : the … 15 (2023) 2, pp. 197-214

Persistent link: https://www.econbiz.de/10014637384

Modeling exchange rate dynamics in Egypt : observed and unobserved volatility

Rofael, Dina; Hosni, Rana - In: Modern economy 6 (2015) 1, pp. 65-80

Persistent link: https://www.econbiz.de/10011285372

Wavelet coherence and continuous wavelet transform : implementation and application to the relationship between exchange rate and oil price for importing and exporting countries

Aladwani, Jassim - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 4, pp. 531-541

Persistent link: https://www.econbiz.de/10014373692

Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals : a new approach

Pozzi, Lorenzo; Sadaba, Barbara - In: Macroeconomic dynamics 24 (2020) 4, pp. 951-994

Persistent link: https://www.econbiz.de/10012241042

Comovement of Exchange Rates : A Wavelet Analysis

Andries, Alin Marius - 2015

In this paper we employ the wavelet multiple correlation and the wavelet multiple cross-correlation to investigate the behaviour of exchange rates in the Central and Eastern Europe (CEE). This novel approach takes care of several limitations which are encountered when conventional pair wise...

Persistent link: https://www.econbiz.de/10013035510