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Downward nominal rigidities and bond premia

Gourio, François; Ngo, Phuong - 2024

We develop a parsimonious New Keynesian macro-finance model with downward nominal rigidities to understand secular and cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation dynamics: a higher level of inflation makes prices more...

Persistent link: https://www.econbiz.de/10014505834

Foreign exchange market interventions and the $-¥ exchange rate in the long run

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013

This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar-yen exchange rate in the long run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is...

Persistent link: https://www.econbiz.de/10010255146

Foreign exchange market interventions and the $-Yen exchange rate in the long run

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013

Persistent link: https://www.econbiz.de/10009779186

Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors

Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132

output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …

Persistent link: https://www.econbiz.de/10011555939

Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets

Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - In: Central European journal of economic modelling and … 13 (2021) 2, pp. 105-146

the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …

Persistent link: https://www.econbiz.de/10012619980

Long Memory and Tail Dependence in Trading Volume and Volatility

Rossi, Eduardo; Santucci de Magistris, Paolo - 2011

fractional cointegration analysis. We analyze the degree of tail dependence of the two series finding that this is induced by the …

Persistent link: https://www.econbiz.de/10014206268

The Profitability of Pairs Trading Strategies : Distance, Cointegration, and Copula Methods

Rad, Hossein - 2016

, cointegration, and copula methods - on the entire US equity market from 1962 to 2014 with time-varying trading costs. For the … cointegration and copula methods, we design a computationally efficient 2-step pairs trading strategy. In terms of economic outcomes …, the distance, cointegration, and copula methods show a mean monthly excess return of 91, 85, and 43 bps (38, 33, and 5 bps …

Persistent link: https://www.econbiz.de/10013004622

A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics

Cao, Ji - 2017

to cointegration …

Persistent link: https://www.econbiz.de/10012966262

Adaptive Order Flow Forecasting with Multiplicative Error Models

Härdle, Wolfgang - 2017

A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...

Persistent link: https://www.econbiz.de/10012966547

Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors

Fu, Man - 2011

output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …

Persistent link: https://www.econbiz.de/10013119302