Relevant bibliographies by topics / Volatility of currencies

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Volatility of currencies'

Author: Grafiati
Published: 28 May 2022
Last updated: 31 July 2025

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Journal articles on the topic "Volatility of currencies"

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Ariff, Mohamed, and Alireza Zarei. "Sustainable Development and Currency Exchange Rate Behavior." Asian Economic Papers 17, no. 3 (2018): 148–73. http://dx.doi.org/10.1162/asep_a_00644.

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We discuss currency volatility as a measure of currency instability using 15 currencies from developed and emerging economies. The IMF and others have recorded how countries manage their exchange rates to promote sustainable economic growth by designing exchange rate regimes as a pillar within economic policy. The findings herein show how to track currency instability using a given currency's volatility against the volatility of a benchmark currency of importance to the given currency. This is termed relative volatility. The study proceeds to test whether the parity factors and country risk fa
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Brenner, Menachem, and Dan Galai. "Hedging Volatility in Foreign Currencies." Journal of Derivatives 1, no. 1 (1993): 53–59. http://dx.doi.org/10.3905/jod.1993.407870.

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Andrade, Jéssica Gonçalves, and Nilson Brandalise. "Volatility behavior of virtual currencies." Independent Journal of Management & Production 10, no. 2 (2019): 537. http://dx.doi.org/10.14807/ijmp.v10i2.852.

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In order to do a volatility analysis, since the exchange rate is higher than the average risk, the higher the average rate of return, the higher the average growth rate of the year. applied the method of data analysis. An attempt to volatility analysis can be made in one year, in the middle of the end of 2016.
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Umoru, David, Beauty Igbinovia, Isah Aisha Shaibu, and Muhammed Adamu Obomeghie. "Dynamics of Foreign Exchange Rates and Bitcoin Trading Prices." Asian Journal of Economics, Business and Accounting 24, no. 8 (2024): 425–50. http://dx.doi.org/10.9734/ajeba/2024/v24i81467.

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The study examined the volatility of Bitcoin prices and volatility of exchange rates of oil-producing countries. The study used ARIMA, GARCH estimators for analysis. The study found ARCH effects in the data (heterskedasticity test; p<.05). The GARCH results laid credence to a confirmation of adjustments in the Bitcoin market having significant volatility influence on local currencies. Persistent volatility and volatility clustering found in some of the sampled countries denote increased risk and uncertainty in foreign exchange markets that stimulates increased borrowing costs and reduced li
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HO, KIN-YIP, and ALBERT K. TSUI. "VOLATILITY DYNAMICS IN FOREIGN EXCHANGE RATES: FURTHER EVIDENCE FROM THE MALAYSIAN RINGGIT AND SINGAPORE DOLLAR." Annals of Financial Economics 04, no. 01 (2008): 0850004. http://dx.doi.org/10.1142/s2010495208500048.

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The evolution of volatility and correlation patterns of the Malaysian ringgit (MYR) and the Singapore dollar (SGD) are analyzed in this paper. Our approach can simultaneously capture the empirical regularities of persistent and asymmetric effects in volatility and time-varying correlations of financial time series. Consistent with the results of (1997), there is only some weak support for asymmetric volatility in the case of the MYR when the two currencies are measured against the US dollar (USD). However, there is strong evidence that depreciation shocks have a greater impact on future volati
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Okonkwo, Chidi U., Bright O. Osu, Farid Chighoub, and Ben I. Oruh. "The co-movement of Bitcoin and some African currencies – A wavelet analysis." Journal of Research in Emerging Markets 3, no. 3 (2021): 81–93. http://dx.doi.org/10.30585/jrems.v3i3.687.

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This paper investigated the co-movement between the bitcoin (BTC) and the exchange rates of some African currencies to the USD (United States Dollars) using the continuous wavelet transform (CWT) and wavelet coherence (WTC). This was done for the noisy as well as the denoised series. The CWT for the noisy series suggests high volatility for those who hold the currencies for the short term and low volatility for those who hold the currencies for a long-term period. The CWT of the denoised series suggests that volatility at low frequency is driven by noise, while volatility at a higher frequency
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Portugal Duarte, António, Fátima Sol Murta, Nuno Baetas da Silva, and Beatriz Rodrigues Vieira. "Flip the Coin: Heads, Tails or Cryptocurrencies?" Scientific Annals of Economics and Business 70, SI (2023): 1–18. http://dx.doi.org/10.47743/saeb-2023-0013.

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This paper analysis and compares the volatility of seven cryptocurrencies – Bitcoin, Dogecoin, Ethereum, BitcoinCash, Ripple, Stellar and Litecoin – to the volatility of seven centralized currencies – Yuan, Yen, Canadian Dollar, Brazilian Real, Swiss Franc, Euro and British Pound. We estimate GARCH models to analyze their volatility. The results point to a considerably high volatility of cryptocurrencies when compared to that of centralized currencies. Therefore, we conclude that cryptocurrencies still fall far short of fulfilling all the requirements to be considered as a currency, specifical
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Kyriazis, Nikolaos A. "A Survey on Empirical Findings about Spillovers in Cryptocurrency Markets." Journal of Risk and Financial Management 12, no. 4 (2019): 170. http://dx.doi.org/10.3390/jrfm12040170.

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This paper provides a systematic survey on return and volatility spillovers of cryptocurrencies based on the empirical results of relevant academic literature. Evidence reveals that Bitcoin is the most influential among digital coins mainly as a transmitter toward digital currencies but also as a receiver of spillovers from virtual currencies and alternative assets. Ethereum, Litecoin, and Ripple present the most significant interlinkages with Bitcoin. Return spillovers are more pronounced but volatility spillovers often present a bi-directional character. Volatility shock transmission is dete
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Kliber, Agata, and Paweł Kliber. "Zależności pomiędzy kursami walut środkowoeuropejskich w okresie kryzysu 2008." Przegląd Statystyczny. Statistical Review 2010, no. 1 (2010): 3–16. http://dx.doi.org/10.59139/ps.2010.01.1.

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In the paper we try to analyze the interrelations between currencies in Central Europe during the financial crisis in 2008. In order to find out the transition mechanism of the crisis we estimate the jumps (i.e. sudden changes) in exchange rates of four currencies of the region: Polish Zloty, Hungarian Forint, Czech Crown and Slovakian Crown. We use the obtained moments of jumps as dummy variables in GARCH models for exchange rates. Then we also estimate co-jumps for pairs of analyzed currencies to check how much of the volatility is due to the common jumps. The results suggest that sudden jum
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Mohammed, Walid Abass. "Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets." Journal of Risk and Financial Management 14, no. 6 (2021): 270. http://dx.doi.org/10.3390/jrfm14060270.

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In this paper, we investigate the “static and dynamic” return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005–2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers from developed to developing countries are highlighted. Furthermore, our findings document
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Dissertations / Theses on the topic "Volatility of currencies"

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Hotz-Behofsits, Christian, Florian Huber, and Thomas Zörner. "Predicting crypto-currencies using sparse non-Gaussian state space models." Wiley, 2018. http://dx.doi.org/10.1002/for.2524.

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In this paper we forecast daily returns of crypto-currencies using a wide variety of different econometric models. To capture salient features commonly observed in financial time series like rapid changes in the conditional variance, non-normality of the measurement errors and sharply increasing trends, we develop a time-varying parameter VAR with t-distributed measurement errors and stochastic volatility. To control for overparameterization, we rely on the Bayesian literature on shrinkage priors that enables us to shrink coefficients associated with irrelevant predictors and/or perform model
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Vavli, Hakon. "Spillovers in the foreign exchange market a study of volatility and returns in emerging market currencies." Master's thesis, University of Cape Town, 2012. http://hdl.handle.net/11427/10845.

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Includes bibliographical references.<br>This paper provides a rigorous investigation of spillover effects in exchange rate returns and volatility. It considers the construction of a spillover index for advanced and emerging market currencies including the South African rand. The results suggest that the spillover index of exchange rate returns have increased steadily over time and that it exhibits moderate reactions to economic events. In contrast, spillovers in total observed volatility (measured by squared returns) display evidence of considerable reactions to economic events and no apparent
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Dumitrescu, Andrei, and Antti Tuovila. "The relationship between carry trade currencies and equity markets, during the 2003-2012 time period." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73213.

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One of the most popular investment and trading strategies over the last decade, has been the currency carry trade, which allows traders and investors to buy high-yielding currencies in the Foreign Exchange spot market by borrowing, low or zero interest rate currencies in the form of pairs, such as the Australian Dollar/Japanese Yen (AUD/JPY), with the purpose of investing the proceeds afterwards into fixed-income securities.To be able to determine the causality between the returns of equity markets and the foreign exchange market, we choose to observe the sensitivity and influence of two equit
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Шумська, С. С. "Волатильність і динаміка курсу гривні". Thesis, Українська академія банківської справи Національного банку України, 2011. http://essuir.sumdu.edu.ua/handle/123456789/63179.

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У контексті забезпечення конкурентоспроможності економіки країни значну роль відіграє валютна політика, що формує динаміку курсу національної валюти і тим самим має забезпечувати переваги в торгівлі та сприяти необхідним потокам капіталу.
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Esteves, Carlos Manuel Geraldes. "Portfolio diversification using Bitcoin." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21053.

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Mestrado em Finanças<br>Normalmente, as Bitcoins são associadas a um lado mais controverso e ilegal - Bitcoin como meio de chantagem a pessoas ou empresas. Esquemas de pirâmide (Ponzi) ou ainda meio de pagamento no mercado negro, geralmente na dark-web. Mas, existem investidores que estão a utilizar Bitcoin como um ativo nos seus investimentos, seja numa estratégia mais passiva seja mais ativamente, com compra e venda consoante as flutuações cambiais. O aspeto negativo deste ativo financeiro é a sua volatilidade Apesar de, atualmente, Bitcoins e outras cripto moedas se encontrarem numa zona
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Szebeni, Katalin. "The effect of common currencies on trade." Diss., 2004. http://hdl.handle.net/10500/1155.

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The theory of optimum currency areas states that the more two countries trade with each other, the better candidates they are for a currency union. In terms of the endogeneity argument, convergence follows from joining a currency union and the integration process itself turns the countries into optimal currency areas. The potential increase in trade is regarded as one of the most important benefits of a currency union. Indirect evidence from studies on the effect of exchange rate volatility on trade does not support this claim. Rose argues that the common currency effect on trade is separate f
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LIN, CHIA-YI, and 林佳怡. "An Empirical Study on the Relationship between the High and Low Yielding Currencies Exchange Rate Volatility." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/g9g6dw.

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Huang, Chien-Hao, and 黃建豪. "Volatility Spillover and Hedging Effectiveness between the Exchange Rate of High Yield Currencies and Gold Futures." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/56620876462873247653.

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碩士<br>國立中正大學<br>財務金融研究所<br>103<br>In this article, we take the bivariate VAR(1)-GARCH(1,1) model of Ling and McAleer (2003) to examine the extent of volatility spillover for each pair of the exchange rate of high yield currencies and nearby gold futures. We also analyze the optimal portfolio weight (OPW) and hedge ratio (HER) for the exchange rate-gold futures portfolio holdings with respect to the results. Regarding the extent of the volatility transmission, we find that the foreign exchange market is significantly affected by gold´s past volatility in the whole period, but on the contrary, i
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Books on the topic "Volatility of currencies"

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Pramor, Marcus. Common volatility trends in the Central and Eastern European currencies and the euro. International Monetary Fund, European Dept., 2006.

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Popescu, Adina. Cross-Border Central Bank Digital Currencies, Bank Runs and Capital Flows Volatility. International Monetary Fund, 2022.

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Popescu, Adina. Cross-Border Central Bank Digital Currencies, Bank Runs and Capital Flows Volatility. International Monetary Fund, 2022.

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Popescu, Adina. Cross-Border Central Bank Digital Currencies, Bank Runs and Capital Flows Volatility. International Monetary Fund, 2022.

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Tamirisa, Natalia T., and Marcus Pramor. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. International Monetary Fund, 2006.

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Tamirisa, Natalia T., and Marcus Pramor. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. International Monetary Fund, 2006.

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Tamirisa, Natalia T., and Marcus Pramor. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. International Monetary Fund, 2006.

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Barnes, Christopher J., Ehsan Nikbakht, and Andrew C. Spieler. Global Derivatives Hedge Fund Strategies. Oxford University Press, 2017. http://dx.doi.org/10.1093/oso/9780190607371.003.0013.

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Hedge funds represent discretionary pools of capital that have very flexible investment strategies. Some funds allocate capital to derivative-based strategies on a global basis, loosely referred to as global macro funds. These investments are typically high-level, directional views on exchange rates, volatility, interest rates and other macro-related factors. In short, this “go anywhere” strategy often uses futures, forwards, and options on equities as well as interest rates and currencies. The investment manager employs top-down investments by placing high-level bets at the country level as w
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Book chapters on the topic "Volatility of currencies"

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Yousaf, Imran, Manel Youssef, and Mariya Gubareva. "Return and Volatility Spillovers Between Non-fungible Tokens and Conventional Currencies: Evidence from the TVP–VAR Model." In Blockchain, Crypto Assets, and Financial Innovation. Springer Nature Singapore, 2025. https://doi.org/10.1007/978-981-96-6839-7_12.

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Abstract This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using the time-varying parameter vector autoregressions approach. We reveal that the total connectedness between these markets is weak, implying that investors may increase the diversification benefits of their multicurrency portfolios by adding NFTs. We also find that NFTs are net transmitters of both return and volatility spillovers; however, in the case of return spillovers, the influence of NFTs on conventional currencies is more pronounced
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Naimy, Viviane, Johnny El Chidiac, and Rim El Khoury. "Volatility and Value at Risk of Crypto Versus Fiat Currencies." In Business Information Systems Workshops. Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-61146-0_12.

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Michaud, Francine. "Alternative currencies and quality of life in Late Thirteenth- and Fourteenth-century Marseille: Negotiating labour in times of turmoil." In Datini Studies in Economic History. Firenze University Press, 2024. http://dx.doi.org/10.36253/979-12-215-0347-0.11.

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In late medieval Marseille, a commercial hub where market forces largely determined labourers’ income, a significant segment of the workforce was paid partly or fully in non-monetized currencies. Hard bargained between employees and employers, these alternative salaries shed light on labour relations in a time of monetary volatility, demographic collapse, and inflationary trends. If apprentices and young workers depended almost exclusively on goods and services for their livelihood, skilled artisans’ earnings, especially after the Black Death, could favourably benefit from non-monetary compens
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Oga, Takashi, and Wolfgang Polasek. "The Asia Financial Crises and Exchange Rates: Had there been Volatility Shifts for Asian Currencies?" In Studies in Classification, Data Analysis, and Knowledge Organization. Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-10745-0_69.

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Ghymers, Christian. "Systemic Potential Aspects of CBDCs." In United Nations University Series on Regionalism. Springer Nature Switzerland, 2024. http://dx.doi.org/10.1007/978-3-031-68475-3_13.

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AbstractCentral Bank Digital Currencies (CBDCs) appear as a necessary step for preserving monetary sovereignty and seizing the benefits of digitalization for the efficiency of payments and financial inclusion. Their blockchain technology permits significantly faster, safer, cheaper payments than cash or bank accounts, particularly for cross-border payments. They will probably affect bank profitability, increasing competition for funding them and they will also increase the effects of interest rate adjustments on the economy (higher efficiency of monetary policy). But, more importantly, CBDCs c
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Taylor, Stephen J. "Financial Returns Modelled by the Product of Two Stochastic Processes—A Study of Daily Sugar Prices, 1961–79." In Stochastic Volatility. Oxford University PressOxford, 2005. http://dx.doi.org/10.1093/oso/9780199257195.003.0003.

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Frolov, Serhiy, Maksym Ivasenko, Mariia Dykha, and Vladyslav Hrabar. "ANALYSIS OF THE IMPACT OF THE CENTRAL BANK DIGITAL CURRENCY ATTENTION INDEX ON THE VOLATILITY OF FOREIGN EXCHANGE MARKETS." In GLOBAL AND NATIONAL DEVELOPMENT TRENDS DIGITAL ECONOMY. OKTAN PRINT, 2023. http://dx.doi.org/10.46489/gandtde-23-29-18.

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The financial world is currently on the cusp of significant innovation, with central bank digital currencies (CBDCs) playing a key role. CBDCs are digital assets registered in centralized or decentralized accounting systems and can be exchanged for traditional forms of money. As of September 2023, 64 countries have seen active development of central bank digital currencies, including processes from development to piloting and even launch. Among the Group of Twenty (G20) countries, 19 countries are actively developing their CBDCs, of which 9 are already implementing pilot projects in this area.
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Nikhil, M. S., Nischal V. Atreya, H. Mehul Kumar, B. Priyadharshini, and S. Ramya. "A Systematic Study of Central Bank Digital Currency." In Advances in Business Information Systems and Analytics. IGI Global, 2023. http://dx.doi.org/10.4018/979-8-3693-2193-5.ch022.

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This chapter examines central bank digital currencies (CBDCs) and their possible impact on the Indian economy in an age of digitization. Commercial value, user experience, legal frameworks, and financial stability are crucial to understanding digital currencies. CBDCs are a new payment infrastructure frontier. The chapter emphasizes the significant investments needed to build a large user and merchant network, highlighting the far-reaching effects of digital currencies. This exploration aims to demystify CBDCs as electronic variants of fiat currency. CBDCs, issued by central banks as legal mon
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Kaur, Harpreet. "Analysis of Cryptocurrency Markets." In Adoption of NFTs and Cryptocurrency in Marketing. IGI Global, 2024. http://dx.doi.org/10.4018/979-8-3693-1392-3.ch004.

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The main aim of the study will be to identify the major factors affecting the market price of crypto currencies and to analyze the nature of the crypto currency market from a global vs. Indian perspective. In India, crypto currency trading is not yet fully developed, and it has a history of being used to finance illicit operations from the start. Due to significant volatility and unlawful trading, India is considering bringing crypto currency trading under the jurisdiction of SEBI. Due to a high increase in interest in crypto currencies such as Bitcoin, there is a real concern about the abilit
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Raina, Ashish. "The Emergence of Crypto Travel." In Advances in Hospitality, Tourism, and the Services Industry. IGI Global, 2024. https://doi.org/10.4018/979-8-3693-6562-5.ch003.

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The rapid advancement and growth in adoption of crypto-currencies are revolutionizing the global travel industry. This chapter explores the emergence of “crypto travel,” where digital currencies such as Bitcoin and Ethereum are increasingly used for travel services. The chapter examines how blockchain enhances transparency, reduces transaction fees, and ensures the privacy and security of financial data. Platforms like Travala, alongside major travel companies experimenting with crypto payments, are leading this shift. However, the chapter also discusses challenges, including market volatility
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Conference papers on the topic "Volatility of currencies"

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Beju, Daniela-Georgeta, Vasile Paul Bresfelean, and Maria Ciupac-Ulici. "VIRTUAL CURRENCY: EVOLUTION, TECHONOLOGY, PERSPECTIVES." In 11th SWS International Scientific Conferences on SOCIAL SCIENCES - ISCSS 2024. SGEM WORLD SCIENCE, 2024. https://doi.org/10.35603/sws.iscss.2024/s03/25.

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In this paper we aim to present the theoretical foundations of virtual currencies, distinguishing them from legal tender, and to explore the blockchain technology that underpins their creation. We classify the existing virtual currencies into three categories (cryptocurrencies, stablecoins, and Central Bank Digital Currency), and analyze their characteristics and market evolution. We also present the evolution of popular cryptocurrencies, bitcoin and Ethereum, underline their market dynamics, historical price trends and mining distribution. Moreover, we assess the implications of these digital
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Gursoy, Samet, Ethem Kilic, Ibrahim Halil Eksi, Rizky Yudaruddin, and Mosab I. Tabash. "Dynamic Volatility Interactions Between Sustainable Crypto Currencies and Green Economy Indicators." In 2024 International Conference on Sustainable Islamic Business and Finance (SIBF). IEEE, 2024. https://doi.org/10.1109/sibf63788.2024.10883860.

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Islam, Ashikul. "Cryptocurrency Price Prediction: A Comparative Study using LSTM, GRU and Stacking Ensemble Algorithm for Time Series Forecasting." In The SLIIT International Conference on Engineering and Technology 2022. Faculty of Engineering, SLIIT, 2022. http://dx.doi.org/10.54389/ntpv9785.

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Technology has significantly reshaped how humans interact with their tangible and intangible surroundings. Cryptocurrency is considered to be one of the most recent technological inventions which revolutionized how we perceive currencies and their functionality. It has become popular because of its safety, security and anonymity. However, volatility remains one of the major issues with cryptocurrencies to this day. Therefore, the primary aim of this paper is to develop LSTM (Long ShortTerm Memory), GRU (Gated Recurrent Units) and a Stacking Ensemble Learning algorithm that efficiently predicts
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Dias, Rui, Mariana Chambino, Paulo Alexandre, and Rosa Galvão. "Bridging Markets: Exploring Short-Term Trends in Cryptocurrencies and Green Finance." In Ninth International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2023. http://dx.doi.org/10.31410/limen.2023.175.

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This study examined the short-term dynamics between Bitcoin, Ethereum, Litecoin, Clean Energy Fuels, and WilderHill Clean Energy over the period from January 1, 2020, to May 30, 2023. Bitcoin saw substantial price fluctuations over 10 days, highlighting its inherent volatility and rapid shifts in value. In contrast, Ethereum and Litecoin showed more gradual fluctuations. The price movements of digital currencies exhibited a mix of positive and neg­ative trends when compared to the Clean Energy Fuels and WilderHill indexes, suggesting a correlation with energy-related assets. Clean Energy Fuels
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Yomi, Akinnurun, Ojukwu Izuchukwu, Taiwo Oluwaseun Ayodele, and Imuzeze Omomere. "Gold-Based Economic Evaluation of Petroleum Assets – A Counter Factual Approach." In SPE Nigeria Annual International Conference and Exhibition. SPE, 2023. http://dx.doi.org/10.2118/217248-ms.

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Abstract Crude oil and gold are commodities traded in US Dollars, while gold has shown resilience and stability over the years, crude oil keeps fluctuating in price level. Oil price frequent changes have impacted the measurement of economic variables in dollar values and since the oil price is one of the most vital assumptions in economic forecasting, realistic determination of expected returns from petroleum investment has been a herculean task. Most research articles on the above subject focused on the relationship between the price behaviour of crude oil and gold. There exist very few resea
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Reports on the topic "Volatility of currencies"

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Karlsson, Hyunjoo Kim, and Yushu Li. Investigation of Swedish krona exchange rate volatilityby APARCH-Support Vector Regression. Department of Economics and Statistics, Linnaeus University, 2024. http://dx.doi.org/10.15626/ns.wp.2024.10.

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This paper investigates daily exchange rate volatility behaviors with a focus on a small open economy’s currency, the Swedish krona (SEK), against four currencies: the U.S. dollar, Euro, the Pound Sterling (GBP), and the Norwegian krone (NOK) over the whole period from Jan. 2010 to March 2023, whereas the whole period is divided into different sub-sample periods based on the economic events. In the framework of APARCH models, we find that volatility behavior of the Swedish krona (SEK) exchange rates varies across different currency pairs (SEK being included in all cases) and sub-sample periods
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