Foreign exchange, fractional cointegration and the implied–realized volatility relation
نویسندگان
چکیده
منابع مشابه
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
Multivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated proce...
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The aim of this study is to examine the nexus between exchange rate volatility and foreign capital inflows in Nigeria. The results from the past empirical studies about this subject matter have been controversial, which has created a gap in the literature. The study extracted data from CBN Statistical Bulletin and UNCTAD investment report from 1990-2016. Consequently, the findings that emerged ...
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When asset returns are normally distributed the risk of an asset over a long return interval may be estimated by scaling the risk from shorter return intervals. While it is well known that asset returns are not normally distributed a key empirical question concerns the effect that scaling the volatility of dependent processes will have on the pricing of related financial assets. This study prov...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2010
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2009.09.017