The aim of this paper is to assess to what extent intraday data can explain and predict end-of-the-day volatility. Using a realized volatility measure as proposed by Andersen, T., T. Bollerslev, F. Diebold, and P. Labys. 2001. The distribution of realized exchange rate volatility. Journal of the...

Using exchange rate data from four different countries (time zones), we examine the relationship between the Yen exchange rate against major currencies (i.e. USD/JPY, EUR/JPY, GBP/JPY, AUD/JPY and NZD/JPY) and measures of risk appetite (i.e. the S&P500 index, Dow Jones Industrial Average index...

Purpose - The aim of this study is to investigate profit efficiency in the banking industries of 11 Central and Eastern European (CEE) countries for the period 1998-2005. Design/methodology/approach -The authors employ a directional technology distance function approach to measure profit...

This paper analyzes how the Chinese government adjusts electricity prices for both industrial and residential users in response to changes in coal prices using an asymmetric error correction model. Our results show that there is a long-term relation between the coal price and electricity prices...

This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More specifically, we apply this model to examine the explanatory...