Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong‐Min

doi:10.1016/j.iref.2013.10.004

Cited by 57 publications

(21 citation statements)

References 46 publications

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“…The findings of this study differed from the findings of Cajueiro & Tabak (2004), who found in their study that equity markets were becoming efficient over time. At the same time, the results of the study confirmed the findings of Walid Mensi et al (2014), who concluded that the sample exchange rate recorded long memory, but with little evidence. Copeland (1991) argued that exchange rates could not be cointegrated in an efficient market if the currencies were different assets.…”

Section: Resultssupporting

confidence: 85%

Long memory features and relationship stability of Asia-Pacific currencies against USD

Selvam¹,

Sankarkumar²,

Maniam³

et al. 2017

BEH

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This research study examines the behavior of currency rate, long memory features, and longterm stability in the returns of thirteen Asia-Pacific currencies (AUD, CNY, HKD, INR, IDR, JPY, KRW, MYR, NZD, PHP, SGD, TWD, and THB) against USD over a period of fourteen years (from 2nd January 2001 to 10th December 2014). The study uses descriptive statistics, ADF and PP test, Hurst exponent cointegration model, and figures to investigate the normality, stationarity, long memory features, and longterm relationship stability of sample currencies against USD. This study determined the values of the Hurst Exponent for the first window with 1,000 observations and the second window with 2,500 observations. This study provides significant evidence for the presence of long memory features and relationship stability. The findings of this study would help investors, exchange rate trade policy makers, exporters, and importers to make decisions on the investment, export, and import of goods and services.JEL Classifications: C58, F31, G14, H21, N25

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Section: Resultssupporting

confidence: 85%

Long memory features and relationship stability of Asia-Pacific currencies against USD

Selvam¹,

Sankarkumar²,

Maniam³

et al. 2017

BEH

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“…This author distinguishes between information spillovers and common information effects. Accordingly, ignoring regime shifts leads to spurious extreme persistence and incomplete inferences about asymmetric volatility (Mensi et al, 2013).…”

Section: What Does the Empirical Literature Say?mentioning

confidence: 99%

Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis

Aloui

Hammoudeh

Hamida

2015

Pacific-Basin Finance Journal

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“…In order to detect structural breaks and test which way these undesirable features affect asset allocation and the hedging strategies, we utilize the modified Iterative Cumulative Sum of Squares (ICSS) algorithm of Sansó et al (2004). Some papers, such as Kang et al (2009), Mensi et al (2014, Vivian and Wohar (2012), Živkov et al (2015), Mirović et al (2017) determined structural breaks via ICSS test and inserted dummy variables as a way of enhancing the GARCH model properties.…”

Section: Iii2 Test Of Multiple Structural Break Detection In Variancementioning

confidence: 99%

Portfolio Selection Between a Mature Market and Selected Emerging Markets Indices in the Presence of Structural Breaks

Njegić

Živkov

Momčilović

2019

Bulletin of Econ Res

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The paper examines the influence of the structural breaks on the optimal weights, hedge ratios and hedge effectiveness index (HEI) of risk‐minimizing portfolios composed of S&P500 and selected emerging markets’ indices from East Europe, Asia and South America. We employ a bivariate DCC‐EGARCH models without and with structural breaks and we find better estimation features when structural breaks are included in the model. However, we do not find evidence that insertion of structural breaks increases portfolio hedging performances. The differences that exist between optimal weights, hedge ratios and HEI values are so small that tangible economic benefit for international investors do not exist.

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Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements

Cited by 57 publications

References 46 publications

Long memory features and relationship stability of Asia-Pacific currencies against USD

Long memory features and relationship stability of Asia-Pacific currencies against USD

Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis

Portfolio Selection Between a Mature Market and Selected Emerging Markets Indices in the Presence of Structural Breaks

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