1. bookVolume 7 (2018): Edition 3 (September 2018)
Détails du magazine
License
Format
Magazine
eISSN
2336-9205
Première parution
11 Mar 2014
Périodicité
3 fois par an
Langues
Anglais
Accès libre

Swiss Franc from the Croatian Perspective

Publié en ligne: 10 Sep 2018
Volume & Edition: Volume 7 (2018) - Edition 3 (September 2018)
Pages: 41 - 56
Reçu: 02 Aug 2017
Accepté: 27 Dec 2017
Détails du magazine
License
Format
Magazine
eISSN
2336-9205
Première parution
11 Mar 2014
Périodicité
3 fois par an
Langues
Anglais

1. Arabi, K. A. M. (2012). ‘Estimation of Exchange Rate Volatility via GARCH Model Case Study Sudan (1978 - 2009)’, International Journal of Economics and Finance, Vol. 4, No. 11, pp. 183-192.10.5539/ijef.v4n11p183Ouvrir le DOISearch in Google Scholar

2. Baltensperger, E, and Kugler, P. (2016). ‘The historical origins of the safe haven status of the Swiss franc. Aussenwirtschaft’, Vol. 67, No. 2, pp. 1-30.Search in Google Scholar

3. Berüment, H. and Günay, A. (2003). ‘Exchange Rate Risk and Interest Rate: A Case Study for Turkey’, Open Economies Review, Vol. 14, No. 1, pp. 19-27.10.1023/A:1021243101272Ouvrir le DOISearch in Google Scholar

4. Black, A. L., and McMillan, D. G. (2004). ‘Long-run Trends and Volatility Spillovers in Daily Exchange Rates’, Applied Financial Economics, Vol. 14, No. 12, pp. 895–907.Search in Google Scholar

5. Bollerslev, T. (1986). ‘Generalized Autoregressive Conditional Heteroscedasticity’, Journal of Econometrics, Vol. 31, No. 6, pp. 307-327.10.1016/0304-4076(86)90063-1Ouvrir le DOISearch in Google Scholar

6. Bošnjak, M., Bilas, V. and Novak I. (2016). ‘Modeling Exchange Rate Volatilities in Croatia”, Ekonomski Vjesnik/Econviews: Review of contemporary business, entrepreneurship and economic issues, Vol. 29, No. 1, pp. 81-94.Search in Google Scholar

7. Buszko, M. and Krupa, D. (2015). ‘Foreign currency loans in Poland and Hungary – a comparative analysis’, Procedia Economics and Finance, No. 30, pp. 124 -136.Search in Google Scholar

8. Çağlayan, E. Ü. and Dayıoğlu, T. (2013). ‘Modeling Exchange Rate Volatility in MIST Countries’, International Journal of Business and Social Science, Vol. 4, No. 12, pp. 47-59.Search in Google Scholar

9. Coudert, V., Guillaumin, C. and Raymond, H. (2014). ‘Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?’, CEPII Working Paper, No. 2014-03 – February.Search in Google Scholar

10. Croatian National Bank, Bulletin, No. 202, April 2014-04-30, Statistical survey, Available at: http://www.hnb.hr/publikac/epublikac.htm (Accessed on: December 15, 2016).Search in Google Scholar

11. Csajbók, A., Hudecz, A., and Tamási, B., (2009). ‘Foreign Currency Borrowing of Households in New EU Member States”, 6th Euroframe Conference on Economic Policy Issues in the European Union: Causes and consequences of the current financial crisis: What lessons for European Union countries? 12 June 2009, LondonSearch in Google Scholar

12. Dickey, D. A., and Fuller, W. A. (1981). ‘Likelihood ratio statistics for autoregressive time series with a unit root’, Econometrica, Vol. 49, No. 4, pp. 1057–1072.Search in Google Scholar

13. Ding, Z., Granger, C. W. J. and Engle, R. F. (1993). ‘A Long Memory Property Of Stock Market Returns And A New Model”, Journal of Empirical Finance, Vol. 1, No. 1, pp. 83-106.Search in Google Scholar

14. Dumičić, M. (2016). ‘Financial Stability Indicators – The Case of Croatia’, Journal of Central Banking Theory and Practice, Vol. 5, No. 1, pp. 113–140.Search in Google Scholar

15. Enders, W. (1995), Applied economic time series. New York: Wiley Inc.Search in Google Scholar

16. Engle, R. F. (1982). ‘Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, Vol. 50, No. 4, pp. 987-1007.Search in Google Scholar

17. Engle, R. F. and Lee, G. (1999). ‘A long-run and short-run component model of stock return volatility”. Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive WJ Granger, 475-497.Search in Google Scholar

18. Glosten, L. R., Jagannathan, R. and Runkle, D. E. (1993). ‘On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks”, Journal of Finance, Vol. 48, No. 5, pp. 1779-1801.10.1111/j.1540-6261.1993.tb05128.xOuvrir le DOISearch in Google Scholar

19. Grisse, C. and Nitschka, T. (2015). ‘On financial risk and the safe haven characteristics of Swiss franc exchange rates, Journal of Empirical Finance, Vol. 32, pp. 153–164Search in Google Scholar

20. Higgs, H., Worthington, A. C. (2005). ‘Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information arrival and Calendar Effects’, The Energy Journal, Vol. 26, No. 4, pp. 23-42.10.5547/ISSN0195-6574-EJ-Vol26-No4-2Search in Google Scholar

21. Jović, Ž. (2016). ‘The Interaction Between FX and Credit Risk as an Example of Intersection of Monetary and Financial Stability Policy Goals – The Case of Serbia’, Journal of Central Banking Theory and Practice, Vol. 5, No. 2, pp. 133–155.Search in Google Scholar

22. Kugler, P. and Weder di Mauro, B. (2005). ‘Why are Returns on Swiss Franc Asset so Low?”, Applied Economics Quarterly, Vol. 51, No. 3, pp. 351-372.Search in Google Scholar

23. Li, D., Ghoshray, A. and Morley, B. (2012). ‘Measuring the Risk Premium in Uncovered Interest Parity Using the Component GARCH-M Model”. International Review of Economics and Finance, Vol. 24, pp 167–176.10.1016/j.iref.2012.02.001Ouvrir le DOISearch in Google Scholar

24. Marreh, S., Olubusoye, O. E. and Kihoro, J. M. (2014). ‘Modeling Volatility in the Gambian Exchange Rates: An ARMA-GARCH Approach’, International Journal of Economics and Finance, Vol. 6, No. 10, pp. 118-128.Search in Google Scholar

25. Mitchell, H. and McKenzie, M. D. (2008). ‘A Comparison of Alternative Techniques for Selecting an Optimum ARCH Model”, Journal of Statistical Computation and Simulation. Vol. 78, No.1, pp. 51-67.Search in Google Scholar

26. Narsoo, J. (2016). ‘High Frequency Exchange Rate Volatility Modelling Using the Multiplicative Component GARCH”, International Journal of Statistics and Applications, Vol 6, No.1, pp. 8-14Search in Google Scholar

27. Nelson, D. B. (1991). ‘Conditional Heteroscedasticity in Asset Returns: A New Approach’, Econometrica, Vol. 59, No. 2, pp. 347–370.Search in Google Scholar

28. Ngowani, A. (2012). ‘RMB Exchange Rate Volatility and its Impact on FDI in Emerging Market Economies: The Case of Zambia’, International Journal of Business and Social Science, Vol. 3, No. 19, pp. 9-15.Search in Google Scholar

29. Olowe, R. A. (2009). ‘Modeling Naira/Dollar exchange rate volatility: Application of GARCH and asymmetric models”, International Journal of Business Research Papers, Vol. 5, No. 3, pp. 378-398.Search in Google Scholar

30. Poon, S. and Granger, C. W. J. (2001). ‘Forecasting Financial Market Volatility: A Review’, SSRN Electronic Journal, Available at SSRN: http://ssrn.com/abstract=268866.Search in Google Scholar

31. Pramor, M. and Tamirisa, N. T. (2006). ‘Common Volatility Trends in the Central and Eastern European Currencies and the Euro”, IMF Working Paper No. 206.Search in Google Scholar

32. Ronaldo, A. and Söderlind, P. (2010). ‘Safe Haven Currencies’, Review of Finance, Vol 14, No. 3, pp. 385-407.10.1093/rof/rfq007Ouvrir le DOISearch in Google Scholar

33. Tanasković, S. and Jandrić, M. (2015) ‘Macroeconomic and Institutional Determinants of Non-performing Loans’, Journal of Central Banking Theory and Practice, Vol. 4, No. 1, pp. 47–62.10.1515/jcbtp-2015-0004Search in Google Scholar

34. Taylor, S. (1986). Modeling Financial Time Series. New York: John Wiley & Sons.Search in Google Scholar

35. Temesvary, J., (2016). ‘The drivers of foreign currency-based banking in Central and Eastern Europe’, Economics of Transition, Vol. 24, No. 2, pp. 233–25710.1111/ecot.12089Search in Google Scholar

36. Ullah, S., Haider, S. Z. and Azim, P. (2012). ‘Impact of Exchange Rate Volatility on Foreign Direct Investment: A Case Study of Pakistan’, Pakistan Economic and Social Review, Vol. 50, No. 2, pp. 121-138.Search in Google Scholar

37. Wang, J. and Yang, M. (2009). ‘Asymmetric volatility in the foreign exchange markets’, Journal of International Financial Markets, Institutions and Money, Vol. 19, No. 4, pp. 597–615.Search in Google Scholar

38. Watanabe, T. and Harada, K. (2006). ‘Effects of the bank of Japan’s intervention on Yen/Dollar exchange rate volatility’, J. Japanese Int. Economies, Vol. 20, No. 1, pp. 99–111.10.1016/j.jjie.2004.08.001Search in Google Scholar

39. Zakoian, J. M. (1994). ‘Threshold Heteroskedastic Models”, Journal of Economic Dynamics and Control, Vol. 18, No. 5, pp. 931–952.10.1016/0165-1889(94)90039-6Ouvrir le DOISearch in Google Scholar

40. De Bock, R. and de Carvalho Filho, I. (2013). ‘The Behavior of Currencies during Risk-off Episodes’, IMF Working Paper, WP/13/8.10.5089/9781557755308.001Search in Google Scholar

41. Kugler, P. and Weder di Mauro, B. (2002). ‘The Puzzle of the Swiss Interest Rate Island: Stylized Facts and a New Interpretation’, Swiss Review of International Economic Relations, Vol. 57, No. 1, pp.49-63.Search in Google Scholar

42. McFarland, J. W., Pettit, R. R. and Sung, S. K. (1982). ‘The Distribution of Foreign Exchange Price Changes: Trading Day Effect and Risk Management’, Journal of Finance, Vol. 37, No. 3, pp. 693-715.Search in Google Scholar

Articles recommandés par Trend MD

Planifiez votre conférence à distance avec Sciendo