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Does VIX or volume improve GARCH volatility forecasts?
Kambouroudis, Dimos S.; McMillan, David G. - In: Applied economics 48 (2016) 13/15, pp. 1210-1228
Persistent link: https://www.econbiz.de/10011433080
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Exchange rate and stock markets during trade conflicts in the USA, China, and India
Krishnan, Deepika; Dagar, Vishal - In: Global journal of emerging market economies 14 (2022) 2, pp. 185-203
Persistent link: https://www.econbiz.de/10013256644
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Informativeness of trade size in foreign exchange markets
Gradojevic, Nikola; Erdemlioglu, Deniz; Gençay, Ramazan - In: Economics letters 150 (2017), pp. 27-33
Persistent link: https://www.econbiz.de/10011762076
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Impact of trading hours extensions on foreign exchange volatility : intraday evidence from the Moscow exchange
Frömmel, Michael; Kadioglu, Eyup - In: Financial innovation : FIN 9 (2023) 1, pp. 1-23
extensions of trading hours cause a significant increase in both volatility and volume for further analyzing the reasons behind … hours extensions on volatility. During the sample period, the Moscow Exchange extended trading hours three times for the … implementations, various measures of historical and realized volatility are calculated for 5- and 15-min intraday intervals spanning a …
Persistent link: https://www.econbiz.de/10014364050
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Return and volatility spillover among commodity futures, stock market and exchange rate : evidence from India
Maitra, Debasish; Dawar, Varun - In: Global business review 20 (2019) 1, pp. 214-237
Persistent link: https://www.econbiz.de/10011984156
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Oil price volatility and US dollar exchange rate volatility of some oil-dependent economies
Donkor, Richard Agyabeng; Mensah, Lord; … - In: Journal of international trade & economic development : … 31 (2022) 4, pp. 581-597
Persistent link: https://www.econbiz.de/10013371168
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An empirical analysis of the WTI oil price returns and volatility spillover in the USA
Wei, Ching Chun; Chen, Chung-Hsuan - In: The empirical economics letters : a monthly … 13 (2014) 6, pp. 663-674
Persistent link: https://www.econbiz.de/10010520049
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The effect of USD/EURO exchange rate volatility on futures market for gold
Bhatt, Suyash - In: International journal of applied business and economic … 10 (2012) 2, pp. 269-282
Persistent link: https://www.econbiz.de/10009731700
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The effects of dollar/sterling exchange rate volatility of futures markets for coffee and cocoa
Jumah, Adusei; Kunst, Robert M. - 1999
the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are … ; volatility ; forecasting …
Persistent link: https://www.econbiz.de/10009712332
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Twenty years of jumps in commodity markets
Chevallier, Julien; Ielpo, Florian - In: International review of applied economics 28 (2014) 1, pp. 64-82
Persistent link: https://www.econbiz.de/10010246726