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Cross‐dynamics of exchange rate expectations: a wavelet analysis

Author

Listed:
  • Jussi Nikkinen
  • Seppo Pynnönen
  • Mikko Ranta
  • Sami Vähämaa

Abstract

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Suggested Citation

  • Jussi Nikkinen & Seppo Pynnönen & Mikko Ranta & Sami Vähämaa, 2011. "Cross‐dynamics of exchange rate expectations: a wavelet analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(3), pages 205-217, July.
  • Handle: RePEc:wly:ijfiec:v:16:y:2011:i:3:p:205-217
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    Cited by:

    1. repec:eee:ecmode:v:64:y:2017:i:c:p:312-321 is not listed on IDEAS
    2. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-577, Department of Research, Ipag Business School.
    3. Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Gold, oil, and stocks: Dynamic correlations," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 186-201.
    4. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2015. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 575-611, December.
    5. Yang, Lu & Cai, Xiao Jing & Zhang, Huimin & Hamori, Shigeyuki, 2016. "Interdependence of foreign exchange markets: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 55(C), pages 6-14.
    6. Antonakakis, Nikolaos, 2012. "Exchange return co-movements and volatility spillovers before and after the introduction of euro," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1091-1109.
    7. repec:eee:ememar:v:32:y:2017:i:c:p:130-147 is not listed on IDEAS
    8. Michael Graham & Jarno Kiviaho & Jussi Nikkinen, 2013. "Short-term and long-term dependencies of the S&P 500 index and commodity prices," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 583-592, March.
    9. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
    10. repec:ipg:wpaper:2014-062 is not listed on IDEAS
    11. Aloui, Chaker & Hkiri, Besma, 2014. "Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis," Economic Modelling, Elsevier, vol. 36(C), pages 421-431.
    12. Fernández-Macho, Javier, 2012. "Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1097-1104.
    13. repec:eee:phsmap:v:490:y:2018:i:c:p:1211-1227 is not listed on IDEAS

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