Scaling properties of foreign exchange volatility

By Ramazan Gencay, F. Selçuk, Brandon Whitcher. 2001

195 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3cc65dc72f5fc4ac867109f44f4d71f3ac2124c0

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Citations in the corpus

Multiscale systematic risk (2005, methodology): “Gençay et al. (2001a) presented a general framework for the basic premise of wavelet filtering within the context of economic/financial time series.”
Gold price dynamics and the role of uncertainty (2018, methodology): “∗∗ In the remainder we will briefly state the applied wavelet setup and we refer to Percival and Walden (2000) and Gençay et al. (2001) for a thorough technical introduction to wavelets ‡ The index is obtained based on articles containing the triple of: ‘uncertainty’ or ‘uncertain’; ‘economic’ or…”
The continuous wavelet transform : a primer (2011, unknown): “Withcher [21, 20, 22], Wong, Ip, Xie and Lui [45], Connor and Rossiter [9], Fernandez [15] and Gallegati and Gallegati [17].”
Wavelets in Economics and Finance: Past and Future (2002, background): “Interesting examples are represented in a recent series of papers, Gencay et al (2001), Gencay et al (2001a), and Gencay et al (2002a) In these papers the authors demonstrate the benefits of wavelet analysis in evaluating variations in foreign exchange volatility by time scale.”
Using wavelets to decompose the time–frequency effects of monetary policy (2008, background): “[15, 16] is largely unknown to the majority of the economists, who reveal a strong preference for traditional econometric methods, overlooking the potential for using wavelets to analyze economic data.”
Assessing the Exchange Rate Exposure of US Multinationals (2013, methodology): “The empirical results of wavelet based regression are discussed in section five and concluding remarks are presented in section six.”
Systematic risk and timescales (2003, methodology): “Gençay et al (2001c) investigated the scaling properties of foreign exchange volatility through a multiscale decomposition of the variance and covariance between two time series on a scale-by-scale basis.”