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Nessrine Hamzaoui,Boutheina Regaieg
Pág. 437 - 443
This paper empirically investigates the contribution of the term structure of the forward premium to explain the long memory behavior that can characterize the forward premium. We apply our empirical study on1-month, 3-month, 6-month, 9-month and 1-year ...
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Nessrine Hamzaoui,Boutheina Regaieg
Pág. 1608 - 1615
This paper empirically investigates the volatility dynamics of the EUR/USD forward premium via GARCH-M (1,1) and GJR-GARCH(1,1) and GJR-GARCH(1,1)-M models. Our empirical analysis is based on daily data related to the EUR/USD forward premiums. Our daily ...
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Nessrine Hamzaoui,Boutheina Regaieg
Pág. 694 - 702
This paper empirically examines the interdependence between the foreign exchange forward premiums and the spot exchange return through a Multivariate GARCH type framework. The purpose of this study is to test the correlation sensitivity to shocks a...
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Dr. Nessrine HAMZAOUI ALOUI
Pág. 2400 - 2407
The purpose of this paper is to analyze the JPY/USD and the CAD/USD forward exchange premiums by adopting the ARCH/GARCH modeling, given its descriptive and predictive advantages. We estimate a symmetric linear model by taking into account the effect of ...
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