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...
| Published in: | Borsa Istanbul Review |
|---|---|
| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-01-01
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| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845021000235 |