Identifying (volatility-)regimes in the EUR/USD spot exchange rate using clustering algorithms: An Oil and Gas Perspective on Parity Conditions.
Seminar graphs:
Plotly Graph 1: Monthly deviations of USD spot rates from PPP values
Plotly Graph 2: Monthly US CPI: Headline and component contributions for the period: 2001 - 2024
Plotly Graph 3: Monthly EU Area CPI: Headline and component contributions for the period: 2000 - 2024
Plotly Graph 4: Normalized oil price volatility and EUR/USD exchange rate with crisis periods highlighted
Plotly Graph 5: Model Comparison Bar Plot
Plotly Graph 6: Predicted Model Regimes with Crisis Periods Highlighted
Plotly Graph 7: Predicted Model Regimes Relative Share Overlap
Plotly Graph 8: Predicted Model Regimes Relative Share Overlap with Theoretical Crisis Regimes
Plotly Graph 9: UIP Estimation Benchmark Models
Plotly Graph 10: UIP Estimation Identified Regimes
Plotly Graph 11: Yearly oil consumption and production by country
Plotly Graph 12: Yearly natural gas consumption and production by country
Plotly Graph 13: Weekly open interest in oil and natural gas futures contracts
Plotly Graph 14: Daily BIS Central Bank Policy Rate and 3M Interbank Rates for the period: 1999 - 2019
Plotly Graph 15: Daily BIS Central Bank Policy Rate and 3M Interbank Rates differentials (USD-EUR) for the period: 1999 - 2019
Plotly Graph 16: Normalized Histograms of Raw Data
Plotly Graph 17: Histograms of Log First Differences
Plotly Graph 18: ACF Plots of Raw Series
Plotly Graph 19: ACF Plots of Log First Differences
Plotly Graph 20: PACF Plots of Raw Series
Plotly Graph 21: PACF Plots of Log First Differences
Plotly Graph 22: Granger Causality Test Results - Oil Raw Series
Plotly Graph 23: Granger Causality Test Results - Gas Raw Series
Plotly Graph 24: Granger Causality Test Results - Oil Log First Differences
Plotly Graph 25: Granger Causality Test Results - Gas Log First Differences