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A Habit-Based Explanation of the Exchange Rate Risk Premium
Verdelhan, Adrien - Society for Computational Economics - SCE - 2006
produced is in line with its empirical counterpart. A nonlinear estimation of the model using consumption data leads to …
Persistent link: https://www.econbiz.de/10005706175
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Are Capital Markets Efficient? Evidence from the Term Structure of Interest Rates in Europe
Hallett, Andrew Hughes; Richter, Christian R - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706624
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Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?
Vandrovych, Vitaliy - Society for Computational Economics - SCE - 2005
This paper studies the dynamics of six major exchange rates, and runs formal tests to distinguish among different types of nonlinearities. In particular we study exchange rate returns, normalized exchange rates and exchange rate volatilities, classifying these series using BDS test, correlation...
Persistent link: https://www.econbiz.de/10005343023
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Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?
Aksoy, Yunus; Akdogan, Kurmas - Society for Computational Economics - SCE - 2006
We examine out of sample predictive power of real time monetary models with nonlinear adjustment in forecast errors for the Pound Sterling/US Dollar exchange rates. Real time revisions of U.K. and U.S. monetary aggregates and output are significant. By studying recursive out of sample forecast...
Persistent link: https://www.econbiz.de/10005537456
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Currency Risk in Brazil under Two Different Exchange Rate Regimes
Branco, Marcelo Castelo; Garcia, Marcio; Medeiros, … - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005706650
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Expectations Driven Distortions in the Foreign Exchange Market
Westerhoff, Frank H. - Society for Computational Economics - SCE - 2001
roots in the exchange rates, fat tails for returns, and volatility clustering). …
Persistent link: https://www.econbiz.de/10005132889
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Heterogeneous Traders and the Tobin Tax
Westerhoff, Frank - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345386
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Foreign Exchange Risk Premia
Evans, Lynne; Joseph, Nathan; Kenc, Turalay - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005132815
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Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis Employing High-Frequency Data
Christopher F Baum, Mustafa Caglayan, Neslihan Ozkan - Society for Computational Economics - SCE - 2001
"Despite the common view that exchange rate volatility will inevitably depress the volume of international trade by … empirically investigate the impact of exchange rate volatility on real international trade flows, but with a much broader … perspective and an improved measure of volatility. Our 18-country data set consists of bilateral real exports for the period 1980 …
Persistent link: https://www.econbiz.de/10005345565
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HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH
Sokalska, Magdalena E.; Chanda, Ananda; Engle, Robert F. - Society for Computational Economics - SCE - 2005
This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatility of high … product of daily, diurnal and stochastic intraday volatility components. This model is applied to a comprehensive sample …-by-company estimation. …
Persistent link: https://www.econbiz.de/10005132655