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...

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Bibliographic Details
Published in:Borsa Istanbul Review
Main Authors: Mohd Ziaur Rehman, Aviral Kumar Tiwari, Durga Prasad Samontaray
Format: Article
Language:English
Published: Elsevier 2022-01-01
Subjects:
C33
F31
O24
E61
Online Access:http://www.sciencedirect.com/science/article/pii/S2214845021000235

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