دانلود مقاله ISI انگلیسی شماره 93659
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
93659 2018 44 صفحه PDF سفارش دهید 11180 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Research in International Business and Finance, Available online 5 March 2018

پیش نمایش مقاله
پیش نمایش مقاله

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.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.