volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

explaining exchange rate movements. The asset market theory of exchange rate determination implies that exchange rates are mainly … driven by the development of macroeconomic fundamentals. Furthermore the asset market theory assumes that foreign exchange … speculation, economic theory states that speculation can have either a stabilizing effect or a destabilizing effect on exchange …

-WOODS - 3. THEORIE DER ZIELZONEN - 4. WECHSELKURSSPEKULATION IM KRUGMAN-MODELL - 5. WECHSELKURSSPEKULATION IN ZIELZONEN ALS … analysed:1. INTRODUCTION - 2. THE DISCUSSION ABOUT TARGET ZONES IN THE POST BRETTON WOODS ERA - 3. TARGET ZONE THEORY - 4 …

Over the past few decades, many countries have experienced a marked decline in the volatility of output. However, there … is still a significant difference between developed and developing countries in the level of output volatility. A … proposed explanation for this phenomenon is the impact of economic policies on output volatility in developing countries. The …

Japan. We also test for the presence of causality-in-mean and volatility spillovers. The econometric framework is a four … found to play a role in a minority of cases, with mixed signs. Finally, most cases of volatility spillovers occur from …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying …

estimation of the marginal distributions and the dependence between the onedimensional random variables. Therefore, copulae are … used in order to carry out the estimation of the tail dependence coefficient (TDC). Four estimators of the TDC are … Extreme Value Theory (EVT) is given, which tries precisely to analyze the behavior at the tail of a bivariate distribution …