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Dynamic characteristics of the daily yen–dollar exchange rate

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  • Kurita, Takamitsu
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    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.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0275531913000263
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    Bibliographic Info

    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 30 (2014)
    Issue (Month): C ()
    Pages: 72-82

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    Handle: RePEc:eee:riibaf:v:30:y:2014:i:c:p:72-82

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    Web page: http://www.elsevier.com/locate/ribaf

    Related research

    Keywords: Daily yen–dollar exchange rates; Technical trading; GARCH models; Value at Risk;

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