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Dynamic characteristics of the daily yen–dollar exchange rate

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  • Kurita, Takamitsu

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.

Suggested Citation

  • Kurita, Takamitsu, 2014. "Dynamic characteristics of the daily yen–dollar exchange rate," Research in International Business and Finance, Elsevier, vol. 30(C), pages 72-82.
  • Handle: RePEc:eee:riibaf:v:30:y:2014:i:c:p:72-82 DOI: 10.1016/j.ribaf.2013.05.004
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    References listed on IDEAS

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    Cited by:

    1. Miralles-Quirós, José Luis & Daza-Izquierdo, Julio, 2015. "Do DOW returns really influence the intraday Spanish stock market behavior?," Research in International Business and Finance, Elsevier, pages 99-126.

    More about this item

    Keywords

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

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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