Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approach
This study investigates the directional predictability of exchange rates in emerging markets. Using a cross-quantilogram model, we show that dependencies among emerging markets exchange rates are heterogeneous. Specifically, the Mexican peso, Brazilian real, and Turkish lira are leading emerging mar...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-01-01
|
| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845021000235 |