Reassessing the link between the Japanese yen and emerging Asian currencies

Kim, Bong-Han; Hong, Min

doi:10.1016/j.jimonfin.2012.11.021

Cited by 23 publications

(6 citation statements)

References 40 publications

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“…17 Min and Hwang (2012) and Kim et al (2013) also employed this DCCX-MGARCH method based on an earlier version of the present paper, Kim and Kim (2011).…”

Section: The Dccx-mgarch Modelmentioning

confidence: 99%

Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries

Kim

Lee

2015

International Review of Economics & Finance

Self Cite

152

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“…17 Min and Hwang (2012) and Kim et al (2013) also employed this DCCX-MGARCH method based on an earlier version of the present paper, Kim and Kim (2011).…”

Section: The Dccx-mgarch Modelmentioning

confidence: 99%

Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries

Kim

Lee

2015

International Review of Economics & Finance

Self Cite

152

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“…In this sub-section, we employ the Kim et al (2013) DCCX-MGARCH model in which the conditional correlation coefficient is determined by exogenous variables. The main purpose is to identify exogenous global factors that may determine the DCC behavior overt time.…”

Section: Global Factors Determining Sharia Stocks/sukuk Dccsmentioning

confidence: 99%

“…In addition, this approach can provide useful policy implications when policymakers wish to identify the global economic factors affecting the sign and the size of the dynamic correlations between the sharia stocks and sukuk. With reference to Kim et al (2013), we use the following parameterization for this conditional correlation function:…”

Section: Global Factors Determining Sharia Stocks/sukuk Dccsmentioning

confidence: 99%

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Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries

Aloui

Hammoudeh

Hamida

2015

The North American Journal of Economics and Finance

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“…Meanwhile in the literature there is much less attention paid to the exploration of linkage among different exchange markets, which represent the essential theoretical challenge. For example, Kim et al [5] find that the conditional correlation between Japanese Yen and other Asian economies is decoupled and insignificant due to liquidity deterioration and elevated risk aversions in the international capital market [5]. But recent empirical studies suggest that the comovement across markets, with transmission as one particular case, turns out to be more complicated than what is assumed in the traditional linear framework.…”

Section: Introductionmentioning

confidence: 99%

Exchange Rate Forecasting Using Entropy Optimized Multivariate Wavelet Denoising Model

Wang

Zou

et al. 2014

Mathematical Problems in Engineering

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Exchange rate is one of the key variables in the international economics and international trade. Its movement constitutes one of the most important dynamic systems, characterized by nonlinear behaviors. It becomes more volatile and sensitive to increasingly diversified influencing factors with higher level of deregulation and global integration worldwide. Facing the increasingly diversified and more integrated market environment, the forecasting model in the exchange markets needs to address the individual and interdependent heterogeneity. In this paper, we propose the heterogeneous market hypothesis- (HMH-) based exchange rate modeling methodology to model the micromarket structure. Then we further propose the entropy optimized wavelet-based forecasting algorithm under the proposed methodology to forecast the exchange rate movement. The multivariate wavelet denoising algorithm is used to separate and extract the underlying data components with distinct features, which are modeled with multivariate time series models of different specifications and parameters. The maximum entropy is introduced to select the best basis and model parameters to construct the most effective forecasting algorithm. Empirical studies in both Chinese and European markets have been conducted to confirm the significant performance improvement when the proposed model is tested against the benchmark models.

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Reassessing the link between the Japanese yen and emerging Asian currencies

Cited by 23 publications

References 40 publications

Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries

Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries

Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries

Exchange Rate Forecasting Using Entropy Optimized Multivariate Wavelet Denoising Model

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