Wszystkie pola: exchange rates - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Behavior of Exchange Rates and Returns: Long Memory and Cointegration
Autorzy:: Syczewska, E.
Powiązania:: https://bibliotekanauki.pl/articles/1408905.pdf
Data publikacji:: 2012-02
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 89.65.GH
Opis:: The aim of the paper is to present an example of analysis of exchange rate behavior with use of tools, built in GRETL econometric package, which have been developed by researchers often with background in physics or similar fields, but some (such as tests of integration and cointegration) are less known to physical audience. The series of interest is a bilateral USDPLN exchange rate; including the corresponding stock indices as additional variables can improve quality of a model even in period of crisis.
Źródło:: Acta Physica Polonica A; 2012, 121, 2B; B-121-B-127
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Scaling of Dependence between Foreign Exchange Rates and Stock Markets in Central Europe
Autorzy:: Kristoufek, L.
Powiązania:: https://bibliotekanauki.pl/articles/1398833.pdf
Data publikacji:: 2016-05
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 05.45.Tp
89.75.Da
89.65.Gh
Opis:: We propose two novel methodological approaches - the detrending moving average based regression coefficient estimator and the scale-dependent instrumental variable estimator - and show their utility on a specific case of dependence between stock markets and connected foreign exchange rates in the Central European region - the Czech Republic, Hungary, and Poland. The methodology has proven useful as we uncovered several interesting findings such as scale dependence of the shock transmission and differences between the Euro and U.S. dollar currency pairs. The Polish currency is also the most sensitive of the three with respect to the stock market shocks. The proposed methodology can be applied to any system with potential endogeneity issues if one is interested in the scale variability of the effect of interest.
Źródło:: Acta Physica Polonica A; 2016, 129, 5; 908-912
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

Artykuł

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