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Dynamic characteristics of the daily yen–dollar exchange rate
Institution:1. Korea University Business School, 145 Anam-ro, Seongbuk-gu 02841, Seoul, South Korea;2. KB Financial Group, Yeouido-dong, Yeongdeungpo-gu, Seoul, South Korea;3. Hankuk University of Foreign Studies, Imun-ro, Dongdaemun-gu, Seoul, South Korea;1. University of Tunis, High Institute of Management, Laboratory GEF2A, Tunis, Tunisia;2. EDC Paris Business School, OCRE-LAB, Paris-France, 70 Galeries des Damiers, Courbevoie, la Défense 1, 92415, France;1. Lincoln International Business School, University of Lincoln, UK;2. Department of International and European Studies, University of Macedonia, Greece;3. Department of Business Administration, University of Patras, Greece
Abstract:This paper explores various dynamic properties of daily data for the yen–dollar exchange rate. This empirical study shows that quantitative information articulated with technical trading acts as market-based indicators, thus contributing to the modelling of daily fluctuations in the exchange rate. Value-at-Risk analysis is also performed to demonstrate that allowing for data properties such as skewness is essential for representing the underlying volatility of the yen–dollar rate.
Keywords:Daily yen–dollar exchange rates  Technical trading  GARCH models  Value at Risk
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