Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approach
This study investigates the directional predictability of exchange rates in emerging markets. Using a cross-quantilogram model, we show that dependencies among emerging markets exchange rates are heterogeneous. Specifically, the Mexican peso, Brazilian real, and Turkish lira are leading emerging mar...
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| Autori principali: | , , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
Elsevier
2022-01-01
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| Serie: | Borsa Istanbul Review |
| Soggetti: | |
| Accesso online: | http://www.sciencedirect.com/science/article/pii/S2214845021000235 |
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