Exchange rate returns and volatility : the role of time-varying rare disaster risks
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Date
Authors
Gupta, Rangan
Suleman, Tahir
Wohar, Mark E.
Journal Title
Journal ISSN
Volume Title
Publisher
Routledge
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.
Description
Keywords
Exchange rate, Returns and volatility, Nonparametric quantile causality, Rare disasters
Sustainable Development Goals
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.