کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10226879 | 1701312 | 2018 | 44 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets
ترجمه فارسی عنوان
شواهد پویایی پرش دائمی اختیاری زمان در بازارهای ارز خارجی آفریقای جنوبی
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
چکیده انگلیسی
An Autoregressive Jump Intensity-GJRGARCH model is used to examine the time-varying conditional discrete jump dynamics in the foreign exchange markets of Ghana, Kenya, Nigeria and South Africa. The findings suggest that conditional discrete jump is time-varying, and time-varying conditional discrete jump is sensitive to past shocks for all the four countries' foreign exchange markets. Time-varying conditional discrete jump sensitivity is persistent in all the four markets, and all four markets exhibit asymmetric time-varying conditional discrete jump volatility. We also find that all the foreign exchange markets exhibit asymmetry in volatility, the so-called leverage effects. The findings shed some light on the volatility in these markets which are very relevant for hedging, portfolio allocation, pricing of currency derivatives and forecasting.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 46, December 2018, Pages 211-226
Journal: Research in International Business and Finance - Volume 46, December 2018, Pages 211-226
نویسندگان
Saint Kuttu, Anthony Q.Q. Aboagye, Godfred A. Bokpin,