...Panos Fousekis Purpose This study aims to assess the contemporaneous dependence between euro, crude oil and gold returns and their respective implied volatility changes. Design/methodology/approach The empirical analysis relies on daily data for the period 2015–2022 and the local Gaussian...

...Cynthia Miglietti; Zdenka Kubosova; Nicole Skulanova Purpose This paper aims to empirically investigate the volatility of Bitcoin, Litecoin and the Euro. Design/methodology/approach The authors use quantitative methodologies to assess the annualized volatility of two cryptocurrencies and one...

... and their structural changes in response to changes in macroeconomic variables and monetary policies in the USA, the Euro area, and Japan. Findings Exchange rates have been influenced by macroeconomic fundamentals and have been impacted by the conduct of monetary policies in some cases. Some structural changes...

... of the dollar/euro for 1999‐2007 and the dollar/pound for 1971‐2007. Design/methodology/approach A forecasting framework to generate the one‐ to four‐quarter‐ahead random walk forecasts at varying lead times is designed. This allows to compare forecast accuracy at different lead times and forecast horizons...