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

News Announcements ◽

Modeling And Forecasting ◽

Exchange Markets ◽

Forecasting Volatility

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 ◽

Cited By ~ 3

Author(s):

Afees A. Salisu ◽

Tirimisiyu F. Oloko ◽

Oluwatomisin J. Oyewole

Keyword(s):

Foreign Exchange ◽

Structural Breaks ◽

Asia Pacific ◽

Martingale Difference ◽

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 ◽

Cited By ~ 1

Author(s):

Isabel Ruiz

Keyword(s):

Foreign Exchange ◽

Latin American ◽

Structural Breaks ◽

Long Run ◽

Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets

Journal of Multinational Financial Management ◽

10.1016/j.mulfin.2003.02.001 ◽

2004 ◽

Vol 14 (3) ◽

pp. 217-232 ◽

Cited By ~ 45

Author(s):

Suk-Joong Kim ◽

Michael D. McKenzie ◽

Robert W. Faff

Keyword(s):

Foreign Exchange ◽

Macroeconomic News ◽

News Announcements ◽

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 ◽

Cited By ~ 2

Author(s):

Sang Hoon Kang ◽

Ron Mclver ◽

Sung-Yong Park ◽

Seong-Min Yoon

Keyword(s):

Foreign Exchange ◽

Long Memory ◽

Asia Pacific ◽

Time Varying ◽

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 ◽

Cited By ~ 4

Author(s):

Xiyong Dong ◽

Seong-Min Yoon

Keyword(s):

Foreign Exchange ◽

Structural Breaks ◽

Greater China ◽

Dynamic Correlations ◽

World Scientific Studies in International Economics - Information Spillovers and Market Integration in International Finance ◽

Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond, Stock and Foreign Exchange Markets

10.1142/9789813223585_0005 ◽

2017 ◽

pp. 151-174

Author(s):

Suk-Joong Kim ◽

Michael D. McKenzie ◽

Robert W. Faff

Keyword(s):

Foreign Exchange ◽

Macroeconomic News ◽

News Announcements ◽

A Study on the Efficiency of the Foreign Exchange Markets: Evidence from Korea, Japan and China

The Institute of Management and Economy Research ◽

10.32599/apjb.11.1.202003.61 ◽

2020 ◽

Vol 11 (1) ◽

pp. 61-75

Author(s):

Il-Hyun Yoon ◽

Yong-Min Kim

Keyword(s):

Foreign Exchange ◽

Exchange Markets ◽

Japan And China

Volatility Transmission: A Global Tri-Variate Analysis of Public Real Estate and Foreign Exchange Markets

10.15396/eres2015_69 ◽

2015 ◽

Author(s):

Simon Stevenson

Keyword(s):

Real Estate ◽

Foreign Exchange ◽

Volatility Transmission ◽

Variate Analysis ◽

Government Intervention and Adverse Selection Costs in Foreign Exchange Markets

CFA Digest ◽

10.2469/dig.v30.n4.757 ◽

2000 ◽

Vol 30 (4) ◽

pp. 16-18

Author(s):

Rajiv Kalra

Keyword(s):

Adverse Selection ◽

Foreign Exchange ◽

Government Intervention ◽

Adverse Selection Costs ◽

The Simultaneous Effect of Macroeconomic Surprises on Stock and Foreign Exchange Markets: Using U.S. And U.K. Data

SSRN Electronic Journal ◽

10.2139/ssrn.1100700 ◽

2008 ◽

Author(s):

Andrew Mun

Keyword(s):

Foreign Exchange ◽

Simultaneous Effect ◽