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McAleer, Michael; Chan, Felix; Oxley, Les - 2013

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Persistent link: https://www.econbiz.de/10010326266

The Forward Premium Puzzle only emerges gradually

Bernoth, Kerstin; von Hagen, Jürgen; de Vries, Casper G. - 2007

The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...

Persistent link: https://www.econbiz.de/10010325480

An Alternative Bayesian Approach to Structural Breaks in Time Series Models

van den Hauwe, Sjoerd; Paap, Richard; van Dijk, Dick J.C. - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10010325904

Forecasting the Volatility of Nikkei 225 Futures

Asai, Manabu; McAleer, Michael - 2017

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

Persistent link: https://www.econbiz.de/10011662515

On bubbles in cryptocurrency prices

van Oordt, Maarten R. C. - 2024

This paper investigates how cryptocurrencies relate to concepts such as bubbles, Ponzi-schemes and digital gold in a tractable model for cryptocurrency prices. Investors in the baseline equilibrium hold coins to sell them at a profit to future users if they anticipate in increase in...

Persistent link: https://www.econbiz.de/10015045946

The Impact of Central Bank FX Interventions on Currency Components

Beine, Michel; Bos, Charles S.; Laurent, Sebastian - 2005

This paper is the first attempt to assess the impact of official FOREX interventions of the three major central banks in terms of the dynamics of the currency components of the major exchange rates (EUR/USD and YEN/USD) over the period 1989-2003. We identify the currency components of the mean...

Persistent link: https://www.econbiz.de/10010325246

The Euro Introduction and Non-Euro Currencies

van Dijk, Dick; Munandar, Haris; Hafner, Christian M. - 2005

This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...

Persistent link: https://www.econbiz.de/10010325483

Large Swings in Currencies driven by Fundamentals

Cumperayot, Phornchanok; de Vries, Casper G. - 2006

Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and...

Persistent link: https://www.econbiz.de/10010325549

Does the Canadian Economy suffer from Dutch Disease?

Beine, Michel; Bos, Charles S.; Coulombe, Serge - 2009

We argue that the failure to disentangle the evolution of the Canadian currency from the U.S. currency leads to potentially incorrect conclusions regarding the case of Dutch disease in Canada. We propose a new approach that is aimed at extracting both currency components and energy- and...

Persistent link: https://www.econbiz.de/10010325816

Price Discovery on Foreign Exchange Markets with Differentially Informed Traders

de Jong, Frank; Mahieu, Ronald; Schotman, Peter; van … - 1999

This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

Persistent link: https://www.econbiz.de/10010324605

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