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Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate

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  • Magdalena Osińska
  • Aleksandra Matuszewska

Abstract

Financial prices and returns have been the subject of empirical and theoretical analysis for many years, and their dynamic properties and other characteristics are still of interest. Many different tools have been applied to describe financial markets. The presented paper is addressed to examine the euro/dollar exchange rate and the related financial returns in the context of detecting exact and stochastic unit roots, and in the consequence, modelling them using time varying parameters model. The estimated STUR models are compared with standard ARMA-GARCH representations. We also examine causal relationships in the Granger sense. Upon the results of causality testing, some ADL-GARCH models are built, which are further used to examine their forecasting performance. Copyright IAES 2006

Suggested Citation

  • Magdalena Osińska & Aleksandra Matuszewska, 2006. "Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 12(3), pages 327-341, August.
    • Handle: RePEc:kap:iaecre:v:12:y:2006:i:3:p:327-341:10.1007/s11294-006-9021-7
    DOI: 10.1007/s11294-006-9021-7
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    References listed on IDEAS

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    More about this item

    Keywords

    C10; G15;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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