Browsing Applied Sciences by Subject "Volatility"

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Modeling EURUSD Return Volatility Incorporating Long Run Co-movements in Exchange Rates and US Economic Indicators

Pathberiya, H. A.; Tilakaratne, C. D.; Hansen, L. L.; Lokupitiya, R. S. (2015-09-25)

The nature of long-run co-movements in exchange rates is informative, since it permits participants at the foreign exchange market to gain excess profits from trades. This study examined the possible cointegration ...
Modeling the EURUSD Return Volatility on the Days of Simultaneous Releases of Economic Indicators Unemployment Rate and Non-farm Payroll

Pathberiya, H.A.; Tilakaratne, C.D.; Hansen, L.L. (2015-09-25)

Among the currencies traded in the foreign exchange (Forex) market, Euro against the US Dollar (EUR/USD) remains as one of the dominant currency pairs. This study examines the disparities in the behavior of EUR/USD return ...

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