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Title:Exchange Rates and Fundamentals: Co-movement, long-run relationships and short-run dynamics Author(s):BEKIROS, Stelios D.
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/21Abstract:The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/21Abstract:The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the ...
Title:The Multiscale Causal Dynamics of Foreign Exchange Markets Author(s):BEKIROS, Stelios D.; MARCELLINO, MassimilianoDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/23Abstract:This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal ...
; MARCELLINO, MassimilianoDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/23Abstract:This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal ...