Long memory cointegration and dynamic connectedness of volatility in US dollar exchange rates, with FOREX portfolio investment strategy
Decisions of central banks on foreign exchange rates are based on the comovement of foreign exchange (FOREX) in mature markets such as US dollar rates to the British pound, euro, Chinese yuan, Japanese yen and Australian dollar. We investigate the long-run movement and dynamic quantile connectedness...
| Main Authors: | , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-12-01
|
| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/QFE.2023031?viewType=HTML |