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Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach

Yıl 2016, Cilt: 6 Sayı: 2, 694 - 702, 01.04.2016

Nessrine Hamzaoui Boutheina Regaieg

Öz

This paper empirically examines the interdependence between the foreign exchange forward premiums and the spot exchange return through a Multivariate GARCH type framework. The purpose of this study is to test the correlation sensitivity to shocks and the to capture the dynamic links between the EUR/USD 1,3, 6, 9 and 12-month forward premiums and the spot exchange return. Our empirical analysis is based on daily data from January 8, 1999 to January 8, 2016. Our daily analysis reveals the presence of high correlations between the unconditional EUR/USD forward exchange premiums at different horizons and the possible effect of asymmetric shocks on the conditional variance. The estimation results show that the dynamic conditional correlations have a relatively small and insignificant autoregressive effect, in addition to the existence of significant correlation sensitivity to shocks.

Anahtar Kelimeler

Forward premium anomaly DCC-MVGARCH conditional volatility Volatility Persistence.

Yıl 2016, Cilt: 6 Sayı: 2, 694 - 702, 01.04.2016

Nessrine Hamzaoui Boutheina Regaieg

Öz

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Ayrıntılar

Diğer ID JA87MP73VM
Bölüm Araştırma Makalesi
Yazarlar

Nessrine Hamzaoui Bu kişi benim

Boutheina Regaieg Bu kişi benim

Yayımlanma Tarihi 1 Nisan 2016
Yayımlandığı Sayı Yıl 2016 Cilt: 6 Sayı: 2

Kaynak Göster

APA Hamzaoui, N., & Regaieg, B. (2016). Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach. International Journal of Economics and Financial Issues, 6(2), 694-702.
AMA Hamzaoui N, Regaieg B. Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach. IJEFI. Nisan 2016;6(2):694-702.
Chicago Hamzaoui, Nessrine, ve Boutheina Regaieg. “Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach”. International Journal of Economics and Financial Issues 6, sy. 2 (Nisan 2016): 694-702.
EndNote Hamzaoui N, Regaieg B (01 Nisan 2016) Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach. International Journal of Economics and Financial Issues 6 2 694–702.
IEEE N. Hamzaoui ve B. Regaieg, “Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach”, IJEFI, c. 6, sy. 2, ss. 694–702, 2016.
ISNAD Hamzaoui, Nessrine - Regaieg, Boutheina. “Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach”. International Journal of Economics and Financial Issues 6/2 (Nisan 2016), 694-702.
JAMA Hamzaoui N, Regaieg B. Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach. IJEFI. 2016;6:694–702.
MLA Hamzaoui, Nessrine ve Boutheina Regaieg. “Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach”. International Journal of Economics and Financial Issues, c. 6, sy. 2, 2016, ss. 694-02.
Vancouver Hamzaoui N, Regaieg B. Exploration of the Foreign Exchange Forward Premiums and the Spot Exchange Return: A Multivariate Approach. IJEFI. 2016;6(2):694-702.