Testing for martingale difference hypothesis with structural breaks: Evidence from Asia–Pacific foreign exchange markets

Borsa Istanbul Review ◽

10.1016/j.bir.2016.09.001 ◽

2016 ◽

Vol 16 (4) ◽

pp. 210-218 ◽

Author(s):

Afees A. Salisu ◽

Tirimisiyu F. Oloko ◽

Oluwatomisin J. Oyewole

Keyword(s):

Foreign Exchange ◽

Structural Breaks ◽

Foreign Exchange Markets ◽

Asia Pacific ◽

Martingale Difference ◽

Exchange Markets

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Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements

International Review of Economics & Finance ◽

10.1016/j.iref.2013.10.004 ◽

2014 ◽

Vol 30 ◽

pp. 101-119 ◽

Author(s):

Walid Mensi ◽

Shawkat Hammoudeh ◽

Seong-Min Yoon

Keyword(s):

Foreign Exchange ◽

Long Memory ◽

Structural Breaks ◽

Foreign Exchange Markets ◽

News Announcements ◽

Modeling And Forecasting ◽

Exchange Markets ◽

Forecasting Volatility

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A multivariate GARCH in mean approach to testing uncovered interest parity: evidence from Asia-Pacific foreign exchange markets

The Quarterly Review of Economics and Finance ◽

10.1016/s1062-9769(01)00105-3 ◽

2001 ◽

Vol 41 (4) ◽

pp. 441-460 ◽

Author(s):

Chu-Sheng Tai

Keyword(s):

Foreign Exchange ◽

Multivariate Garch ◽

Foreign Exchange Markets ◽

Asia Pacific ◽

Uncovered Interest Parity ◽

Exchange Markets ◽

Interest Parity

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Looking for risk premium and contagion in Asia-Pacific foreign exchange markets

International Review of Financial Analysis ◽

10.1016/j.irfa.2004.02.020 ◽

2004 ◽

Vol 13 (4) ◽

pp. 381-409 ◽

Author(s):

Chu-Sheng Tai

Keyword(s):

Foreign Exchange ◽

Risk Premium ◽

Foreign Exchange Markets ◽

Asia Pacific ◽

Exchange Markets

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Foreign Exchange Markets Efficiency: Asia-Pacific Focus

SSRN Electronic Journal ◽

10.2139/ssrn.2125910 ◽

2012 ◽

Author(s):

Yuen Meng Jeff Wong

Keyword(s):

Foreign Exchange ◽

Foreign Exchange Markets ◽

Asia Pacific ◽

Exchange Markets

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Linkages among Latin American foreign exchange markets: a long-run perspective in the presence of structural breaks

Applied Economics Letters ◽

10.1080/13504850601018718 ◽

2009 ◽

Vol 16 (5) ◽

pp. 509-514 ◽

Author(s):

Isabel Ruiz

Keyword(s):

Foreign Exchange ◽

Latin American ◽

Structural Breaks ◽

Foreign Exchange Markets ◽

Long Run ◽

Exchange Markets

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Random walk and efficiency tests in the Asia-Pacific foreign exchange markets: Evidence from the post-Asian currency crisis data

Research in International Business and Finance ◽

10.1016/j.ribaf.2008.11.001 ◽

2009 ◽

Vol 23 (3) ◽

pp. 322-338 ◽

Author(s):

A.S.M. Sohel Azad

Keyword(s):

Random Walk ◽

Foreign Exchange ◽

Currency Crisis ◽

Foreign Exchange Markets ◽

Asia Pacific ◽

Exchange Markets ◽

Asian Currency Crisis

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Long Memory Features Evolve in the Time-varying Process in Asia-pacific Foreign Exchange Markets

Procedia Economics and Finance ◽

10.1016/s2212-5671(14)00714-x ◽

2014 ◽

Vol 14 ◽

pp. 286-294 ◽

Author(s):

Sang Hoon Kang ◽

Ron Mclver ◽

Sung-Yong Park ◽

Seong-Min Yoon

Keyword(s):

Foreign Exchange ◽

Long Memory ◽

Foreign Exchange Markets ◽

Asia Pacific ◽

Time Varying ◽

Exchange Markets

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Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China

World Economy ◽

10.1111/twec.12584 ◽

2017 ◽

Vol 41 (10) ◽

pp. 2783-2803 ◽

Author(s):

Xiyong Dong ◽

Seong-Min Yoon

Keyword(s):

Foreign Exchange ◽

Structural Breaks ◽

Foreign Exchange Markets ◽

Greater China ◽

Dynamic Correlations ◽

Exchange Markets

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Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets

Economic Systems ◽

10.1016/j.ecosys.2012.02.002 ◽

2012 ◽

Vol 36 (3) ◽

pp. 338-350 ◽

Author(s):

Dorina Lazăr ◽

Alexandru Todea ◽

Diana Filip

Keyword(s):

Financial Crisis ◽

Empirical Evidence ◽

Foreign Exchange ◽

Foreign Exchange Markets ◽

Martingale Difference ◽

Exchange Markets

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How Integrated Were Foreign Exchange Markets in the Asia-Pacific Region in the Past?: Evidence from the Parallel Market

Journal of Economic Integration ◽

10.11130/jei.2002.17.4.724 ◽

2002 ◽

Vol 17 (4) ◽

pp. 724-744 ◽

Author(s):

Rukmani Gounder ◽

Kunal Sen

Keyword(s):

Foreign Exchange ◽

Foreign Exchange Markets ◽

Asia Pacific ◽

Pacific Region ◽

Asia Pacific Region ◽

The Past ◽

Exchange Markets

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