Accesso libero

The determinants of exchange rates and the movements of EUR/RON exchange rate via non-linear stochastic processes

INFORMAZIONI SU QUESTO ARTICOLO

Cita

Abdalla, S.Z. (2012). Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab Countries, International Journal of Economics and Finance, 4(3), 216-229.10.5539/ijef.v4n3p216Search in Google Scholar

Abdalla, S.Z. and Winker, P. (2012). Modelling Stock Market Volatility using Univariate GARCH Models: Evidence from Sudan and Egypt, International Journal of Economics and Finance, 4(8), 161-176.10.5539/ijef.v4n8p161Search in Google Scholar

Akaike, H. (1976). Canonical Correlation Analysis of Time Series and The Use of An Information Criterion, Academic Press.10.1016/S0076-5392(08)60869-3Search in Google Scholar

Black, F. (1976). Studies of stock prices volatility changes, Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economics Statistics Section, 177-189.Search in Google Scholar

Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, 307-327.10.1016/0304-4076(86)90063-1Search in Google Scholar

Christoffersen, P.F. (2012). Elements of Financial Risk Management (2nd Ed.), Academic Press.Search in Google Scholar

Chorro, C., Guegan, D., Ielpo, F., Lalaharison, H. (2014). Testing for Leverage Effect in Financial Returns. Documents de travail du Centre d’Economie de la Sorbonne 2014.22, ISSN: 1955-611X. Retrieved from: https://hal.inria.fr/file/index/docid/973922/filename/14022.pdf.Search in Google Scholar

Dickey, D.A. and Fuller, W.F. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74(366), 427-431.10.1080/01621459.1979.10482531Search in Google Scholar

Engle, R.F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50(4), 987-1008.10.2307/1912773Search in Google Scholar

Nelson, D.B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, 59(2), 347-370.10.2307/2938260Search in Google Scholar

Petrică, A.C. and Stancu, S. (2017). Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH Models, Romanian Statistical Review, 1, 57-72.Search in Google Scholar

Phillips, P.C.. and Perron, P. (1988). Testing for a unit root in time series regression, Biometrika, 75(2), 335–346.10.1093/biomet/75.2.335Search in Google Scholar

Rachev, S.T., Mittnik, S., Fabozzi, F.J., Focardi, S.M. and Jasic, T. (2007). Financial Econometrics: From Basics to Advanced Modeling Techniques, John Wiley & Sons, Inc., New Jersey.Search in Google Scholar

Suska, J. (2015). Modelling Leverage Effect in a Financial Time Series, Finance, Financial Markets, Insurance, 73(854), 843–852. Retrieved from www.wneiz.pl/frfu.Search in Google Scholar

Tsay, R.S. (2013). An Introduction to Analysis of Financial Data with R, John Wiley & Sons, Inc., Hoboken, New Jersey.Search in Google Scholar

eISSN:
2558-9652
Lingua:
Inglese
Frequenza di pubblicazione:
Volume Open
Argomenti della rivista:
Business and Economics, Political Economics, other, Business Management, Industrial Chemistry, Energy Harvesting and Conversion