Global Volatility Spillover, Transaction Cost and CNY Exchange Rate Parities
نویسندگان
چکیده
منابع مشابه
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...
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This paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to model the conditional mean part and a GARCH type model with a policy dummy variable is applied to the conditional volatility model. We show that the government policy indeed has an impact on the excha...
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متن کامل
Modelling exchange rate volatility
Two types of statistical models are empirically applied to test the pattern of volatility in the exchange rate markets. One considers the autoregressive models and tests the random walk hypothesis. The other considers the conditional variance process and tests the hypothesis of chaotic dynamics. Empirical results mostly support the random walk hypothesis and also the existence of Lorenz-type ch...
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ژورنال
عنوان ژورنال: Mediterranean Journal of Social Sciences
سال: 2018
ISSN: 2039-2117
DOI: 10.2478/mjss-2018-0036