We use high frequency data for the mark/dollar exchange rate for the period 1992-1995 to evaluate the effects of interventions. We estimate an unobserved components model that decomposes volatility into non-stationary and stationary parts. Stationary components in turn are decomposed into...

In this paper we test for the existence of long memory and structural breaks in the realized variance process for the DM/US$ and Yen/US$ exchange rates. While long memory is evident in the actual processes, a structural break analysis reveals that this feature is partially explained by...

In the paper a multivariate unobserved components model for returns and net inflows into hedge funds is employed to assess whether the flows of funds into the industry are dynamically related to returns. The econometric model is used to estimate expected flows and expected returns as unobserved...

The paper investigates linkages between general macroeconomic conditions and the housing market for the G-7 area. Among the key results of the paper, it is found that the US are an important source of global fluctuations not only for real activity, nominal variables and stock prices, but also...

We estimate FIGARCH models with data sets of daily and thirty minute returns on the Deutsche mark-US dollar exchange rate. The results point to the importance of accurately modelling the persistence properties of volatility in terms of structural breaks and long memory, and controlling for...

We introduce a multivariate components model for returns and net relative inflows into hedge funds, accounting for time-varying market premia. We estimate alpha as an unobserved variable of the econometric model. We then assess whether several categories of hedge funds do produce alphas and...

In the paper the fractionally integrated heteroskedastic factor vec- tor autoregressive (FI-HF-VAR) model is introduced. The proposed approach is characterized by minimal pretesting requirements and sim- plicity of implementation also in very large systems, performing well independently of...