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- Title
Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate.
- Authors
Osińska, Magdalena; Matuszewska, Aleksandra
- Abstract
Financial prices and returns have been the subject of empirical and theoretical analysis for many years, and their dynamic properties and other characteristics are still of interest. Many different tools have been applied to describe financial markets. The presented paper is addressed to examine the euro/dollar exchange rate and the related financial returns in the context of detecting exact and stochastic unit roots, and in the consequence, modelling them using time varying parameters model. The estimated STUR models are compared with standard ARMA-GARCH representations. We also examine causal relationships in the Granger sense. Upon the results of causality testing, some ADL-GARCH models are built, which are further used to examine their forecasting performance.
- Subjects
FOREIGN exchange rates; U.S. dollar; EURO; MONEY; FINANCIAL markets; STOCHASTIC processes
- Publication
International Advances in Economic Research, 2006, Vol 12, Issue 3, p327
- ISSN
1083-0898
- Publication type
Article
- DOI
10.1007/s11294-006-9021-7