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The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data
16 references·5 citing·48 second hop
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this work references cited by second hop

References

  • 1999International trade and industrial upgrading in the apparel commodity chain3,194 cited
  • 2016CoVaR2,395 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1999Numerical distribution functions of likelihood ratio tests for cointegration2,028 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited
  • 2008Using wavelets to decompose the time–frequency effects of monetary policy590 cited
  • 2011Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis498 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 2001A test for volatility spillover with application to exchange rates443 cited

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  • 1994Cointegration, Fractional Cointegration, and Exchange Rate Dynamics363 cited
  • 2003Strategic Asset Allocation: Portfolio Choice for Long‐Term Investors.317 cited
  • Cited by

    • 2022Extreme Time-Varying Spillovers between High Carbon Emission Stocks, Green Bond and Crude Oil: Evidence from a Quantile-Based Analysis86 cited
    • 2022Consequences of Russian invasion on Ukraine: evidence from foreign exchange rates77 cited
    • 2020Measuring systemic risk of the Chinese banking industry: A wavelet-based quantile regression approach32 cited
    • 2021Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis28 cited
    • 2022Contagion effects in ASEAN-5 exchange rates during the Covid-19 pandemic27 cited