This paper studies the components of the forward discount dynamics in Germany from 1972 to 1996. By using two different frequencies in the analysis, we find that an ARCH structure fits the monthly data well, while an EGARCH structure gives a better description of daily forward discount...

The paper tests the hypothesis that both the conditional mean and the conditional variance of exchange rates are asymmetric functions of past information. This hypothesis is tested by estimating an Asymmetric Threshold GARCH model for fifteen currencies. The empirical evidence suggests that both...

This paper studies the components of the forward discount dynamics in Germany from 1972 to 1996. By using two different frequencies in the analysis, we find that an ARCH structure fits the monthly data well, while an EGARCH structure gives a better description of daily forward discount...

This paper examines the pattern of autocorrelation of exchange rates in the EU, ASEAN, and NAFTA. We find no feedback trading within blocks among developed financial markets’ currencies, but it exists for less developed financial markets. Across blocks, no feedback trading is found. ASEAN...

This paper examines wealth effects and changes in the systematic risk associated with the return structure of the “three-pillar” functional system in Greece, resulting from the introduction of the eight major European Union Banking Directives over the period 1990-94. The findings indicate...

This paper examines wealth effects and changes in the systematic risk associated with the return structure of the “three‐pillar” functional system in Greece, resulting from the introduction of the eight major European Union Banking Directives over the period 1990‐94. The findings...