Time and foreign exchange markets

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

A hybrid computational intelligence model for foreign exchange rate forecasting

Computational intelligence approaches have gradually established themselves as a popular tool for forecasting the complicated financial markets. Forecasting accuracy is one of the most important features of forecasting models; hence, never has research directed at improving upon the effectiveness of time series models stopped. Nowadays, despite the numerous time series forecasting models propos...

Evaluation of Sustainability of the Foreign Exchange Rate Regimes in Iran Based on Duration Models

Iran's economy as a developing and oil economy, needs to choose appropriate exchange rate regime is to achieve its economic goals. Some characteristics such as little diversity in production and trade, weak and underdevelopment financial markets and other features of the Iranian economy, Requires the choice of exchange rate regime be based on the features of the country. However, the choice of ...

Volatility Spillover of the Exchange Rate and the Global Economy on Iran Stock Market

Financial markets are one of the most fundamental markets in any country. In the financial markets, the securities market and the foreign exchange market are sensitive sectors. These two markets are affected by fluctuations and economic cycles so reflect economic changes rapidly. Changes in the returns of one market due to arbitrage conditions during time lead to changes in the returns of other...

Is the foreign exchange market ‘risky’? Some new survey-based results

In this paper we examine the evidence in favour of time-varying risk premia for four foreign exchange markets. The main novelty in our work is that we use survey-based expectations data to generate risk premia, rather than exploiting the rational expectations assumption. In contrast to the perceived wisdom on the existence of a foreign exchange risk premium, we present positive evidence for the...

International Capital Markets and Foreign Exchange Risk ∗

The relation between the volatilities of pricing kernels associated with different currencies and the volatility of the exchange rate between the currencies is derived under the assumption of integrated capital markets, and the volatilities of the pricing kernels are related to the foreign exchange risk premium. Time series of pricing kernel volatilities are estimated from panel data on bond yi...