Exchange rate returns and volatility : the role of time-varying rare disaster risks

Show simple item record Gupta, Rangan Suleman, Tahir Wohar, Mark E. 2018-11-01T11:11:06Z 2019
dc.description.abstract This paper provides empirical evidence to the theoretical claim that rare disaster risks have predictability for exchange rate returns and volatility using a nonparametric quantile-based methodology. Using dollar-based exchange rates for Brazil, Russia, India, China, and South Africa, the quantile-causality test shows that indeed rare disaster-risks affects both returns and volatility over the majority of their respective conditional distributions. In addition, these effects are much stronger when compared to those using the British pound, especially in terms of currency returns. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2020-04-15
dc.description.librarian hj2018 en_ZA
dc.description.uri en_ZA
dc.identifier.citation Rangan Gupta, Tahir Suleman & Mark E. Wohar (2018): Exchange rate returns and volatility: the role of time-varying rare disaster risks, The European Journal of Finance, 25:2,190-203, DOI: 10.1080/1351847X.2018.1534750. en_ZA
dc.identifier.issn 1351-847X (print)
dc.identifier.issn 1466-4364 (online)
dc.identifier.other 10.1080/1351847X.2018.1534750
dc.language.iso en en_ZA
dc.publisher Routledge en_ZA
dc.rights © 2018 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in European Journal of Finance, vol. 25, no. 2, pp. 190-203, 2019. doi : 10.1080/1351847X.2018.1534750. European Journal of Finance is available online at : en_ZA
dc.subject Exchange rate en_ZA
dc.subject Returns and volatility en_ZA
dc.subject Nonparametric quantile causality en_ZA
dc.subject Rare disasters en_ZA
dc.title Exchange rate returns and volatility : the role of time-varying rare disaster risks en_ZA
dc.type Postprint Article en_ZA

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