Matches in SemOpenAlex for { <https://semopenalex.org/work/W4210958791> ?p ?o ?g. }
Showing items 1 to 56 of
56
with 100 items per page.
- W4210958791 endingPage "134" @default.
- W4210958791 startingPage "103" @default.
- W4210958791 abstract "This study examines on the basis of economic theory the determinants of exchange rate volatilities for a large number of currencies. We relate daily changes in GARCH(1,1) volatilities of exchange rates to the volatility changes of several of their presumed fundamental economic determinants in the context of a portfolio balance model. The use of high-frequency data limits the choice of the explanatory economic variables that can be included in empirical estimates. The first differences of GARCH(1,1) volatilities of share and bond price indices reflect portfolio trading decisions in corresponding markets for both assets. In the same vein, first differences of the gold price volatility, as an additional determinant, are related to exchange rate volatilities of two commodity currencies in the sample. The panel data estimates, using the Seemingly Unrelated Regression technique, produce coefficients with the expected signs and statistical significance. The results of our study enhance our understanding of high-frequency currency volatility changes for 19 currencies beyond the purview of announcement effects in the event studies framework." @default.
- W4210958791 created "2022-02-13" @default.
- W4210958791 creator A5039220648 @default.
- W4210958791 creator A5056168530 @default.
- W4210958791 creator A9999999999 @default.
- W4210958791 date "2009-06-01" @default.
- W4210958791 modified "2023-09-27" @default.
- W4210958791 title "Towards Decoding Currency Volatilities" @default.
- W4210958791 doi "https://doi.org/10.17578/13-1/2-5" @default.
- W4210958791 hasPublicationYear "2009" @default.
- W4210958791 type Work @default.
- W4210958791 citedByCount "5" @default.
- W4210958791 countsByYear W42109587912013 @default.
- W4210958791 countsByYear W42109587912018 @default.
- W4210958791 countsByYear W42109587912019 @default.
- W4210958791 crossrefType "journal-article" @default.
- W4210958791 hasAuthorship W4210958791A5039220648 @default.
- W4210958791 hasAuthorship W4210958791A5056168530 @default.
- W4210958791 hasAuthorship W4210958791A9999999999 @default.
- W4210958791 hasBestOaLocation W42109587911 @default.
- W4210958791 hasConcept C11413529 @default.
- W4210958791 hasConcept C141121606 @default.
- W4210958791 hasConcept C144133560 @default.
- W4210958791 hasConcept C162324750 @default.
- W4210958791 hasConcept C41008148 @default.
- W4210958791 hasConcept C556758197 @default.
- W4210958791 hasConcept C57273362 @default.
- W4210958791 hasConceptScore W4210958791C11413529 @default.
- W4210958791 hasConceptScore W4210958791C141121606 @default.
- W4210958791 hasConceptScore W4210958791C144133560 @default.
- W4210958791 hasConceptScore W4210958791C162324750 @default.
- W4210958791 hasConceptScore W4210958791C41008148 @default.
- W4210958791 hasConceptScore W4210958791C556758197 @default.
- W4210958791 hasConceptScore W4210958791C57273362 @default.
- W4210958791 hasIssue "1/2" @default.
- W4210958791 hasLocation W42109587911 @default.
- W4210958791 hasLocation W42109587912 @default.
- W4210958791 hasLocation W42109587913 @default.
- W4210958791 hasOpenAccess W4210958791 @default.
- W4210958791 hasPrimaryLocation W42109587911 @default.
- W4210958791 hasRelatedWork W11612808 @default.
- W4210958791 hasRelatedWork W14716039 @default.
- W4210958791 hasRelatedWork W19779631 @default.
- W4210958791 hasRelatedWork W20243312 @default.
- W4210958791 hasRelatedWork W28401537 @default.
- W4210958791 hasRelatedWork W32765088 @default.
- W4210958791 hasRelatedWork W33429079 @default.
- W4210958791 hasRelatedWork W40799865 @default.
- W4210958791 hasRelatedWork W8681525 @default.
- W4210958791 hasRelatedWork W9516336 @default.
- W4210958791 hasVolume "13" @default.
- W4210958791 isParatext "false" @default.
- W4210958791 isRetracted "false" @default.
- W4210958791 workType "article" @default.