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Forecasting Exchange Rate Volatility
SSRN Electronic Journal, 2004The relative out-of-sample forecasting quality of symmetric and asymmetric conditional volatility models of an exchange rate differs according to the symmetric and asymmetric evaluation criteria. Both symmetric and asymmetric forecast competitors of currency volatility are biased and systematically overpredict volatility.
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Exchange rate volatility and international trade
Journal of Business Research, 2023Madan Lal +2 more
exaly
INE oil futures volatility prediction: Exchange rates or international oil futures volatility?
Energy Economics, 2023Feng Ma, Jianqiong Wang
exaly
Impact of economic policy uncertainty on exchange rate volatility of China
Finance Research Letters, 2020Ziqing Du
exaly
Exchange Rate Volatility and Trade [PDF]
, 1994 This paper provides an extensive survey of the literature on exchange rate volatility and trade, examining both the theory that underlies the work in this area and the results of empirical studies published since 1988. Despite the widespread view that an increase in volatility will reduce the level of trade, this review reveals that the effects of ...
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Spot and forward volatility in foreign exchange
Journal of Financial Economics, 2011Ilias Tsiakas
exaly
FUNDAMENTALS AND EXCHANGE RATE VOLATILITY [PDF]
Fundamentals may determine the range of real exchange rate fluctuation, through signals of misalignment, even if they are not a major influence on the level within that range. This can explain the puzzle that more open economies experience lower real exchange rate volatility.
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Exchange rate volatility and the stability of stock prices
International Review of Economics and Finance, 2018Benjamin M Blau
exaly
Exchange rate volatility and international trade: International evidence from the MINT countries
Economic Modelling, 2016Dimitrios Asteriou
exaly