Similar Search Results

Darvas, Zsolt - Matematikai Közgazdaságtan és Gazdaságelemzés, … - 2008

Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and portfolios. Positive returns do not diminish in time providing a strong case against the...

Persistent link: https://www.econbiz.de/10005523132

Sentiment in foreign exchange markets: Hidden fundamentals by the back door or just noise?

Rebitzky, Rafael R. - Money Macro and Finance Research Group - 2007

Foreign exchange markets have to deal next to hard facts with lots of expectations and emo-tions. One of the major puzzles in international finance remains the â€œexchange rate discon-nect puzzleâ€. Analyzing sentiment in foreign exchange markets, it appears in fact that senti-ment...

Persistent link: https://www.econbiz.de/10004978118

A hybrid joint moment ratio test for financial time series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...

Persistent link: https://www.econbiz.de/10011299968

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such … matrice de covariance des erreurs. Nous considérons des tests contre la dépendance sérielle, contre la présence d'effets GARCH …

Persistent link: https://www.econbiz.de/10005100677

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002

tests for multivariate GARCH and multivariate generalization of the well known variance ratio tests) and goodness of fit … des tests pour les effets GARCH multivariés et une généralisation multivariée des tests de ratio de variance), des tests …

Persistent link: https://www.econbiz.de/10005100885

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude - Centre Interuniversitaire de Recherche en Économie … - 2003

Persistent link: https://www.econbiz.de/10005346022

The management of price risk in Iranian dates: An application of futures instruments

Sherafatmand, Habibeh; Yazdani, Saeed - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-12

ratio for dates. A bivariate BEKK GARCH model is used to determine time-varying hedge ratios. The results show that the …

Persistent link: https://www.econbiz.de/10011559135

The management of price risk in Iranian dates : an application of futures instruments

Sherafatmand, Habibeh; Yazdani, Saeed - In: Cogent economics & finance 2 (2014) 1, pp. 1-12

ratio for dates. A bivariate BEKK GARCH model is used to determine time-varying hedge ratios. The results show that the …

Persistent link: https://www.econbiz.de/10010489742

Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle

Valente, Giorgio; Leon, H. L.; Sarno, Lucio - International Monetary Fund (IMF) - 2006

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

Persistent link: https://www.econbiz.de/10005604790

PPP Strikes Back; Aggregation and the Real Exchange Rate

Mumtaz, Haroon; Imbs, Jean; Ravn, Morten O.; Rey, Helene - International Monetary Fund (IMF) - 2003

We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When...

Persistent link: https://www.econbiz.de/10005248142