Similar Search Results

The Euro bloc, the Dollar bloc and the Yen bloc: how much monetary policy independence can exchange rate flexibility buy in an interdependent world?

Fratzscher, Marcel - European Central Bank - 2002

The paper analyses the trade-off between exchange rate flexibility and monetary policy autonomy. It tests empirically the 'Possible Duality' hypothesis, i.e. whether countries with more flexible currency regimes are indeed able to exert more monetary policy autonomy than those with less flexible...

Persistent link: https://www.econbiz.de/10005530688

A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility

Hillebrand, Eric; Schnabl, Gunther - European Central Bank - 2006

intervention. Based on a GARCH framework and change point detection, we test for a structural break in the effectiveness of …

Persistent link: https://www.econbiz.de/10005530723

Do options-implied RND functions on G3 currencies move around the times of interventions on the JPY/USD exchange rate?

Castrén, Olli - European Central Bank - 2004

This paper focuses on changes in the currency options market’s assessment of likely future exchange rate developments around the times of official interventions in the JPY/USD exchange rate. We estimate the options-implied risk-neutral density functions (RNDs) using daily OTC quotes for...

Persistent link: https://www.econbiz.de/10005530892

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - European Central Bank - 2008

Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

Persistent link: https://www.econbiz.de/10005530935

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - European Central Bank - 2009

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10005002781

Options introduction and volatility in the EU ETS

Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009

instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …

Persistent link: https://www.econbiz.de/10008479209

Les spams boursiers : Etude empirique sur le marché des penny stocks

BOURAOUI, Taoufik - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2008

evolution of volatility over time through a GARCH (1,1) modelling. We use the methodology of event studies on a sample of …

Persistent link: https://www.econbiz.de/10005170013

Sensitivity analysis of volatility: a new tool for risk management

Manganelli, Simone; Ceci, Vladimiro; Vecchiato, Walter - European Central Bank - 2002

The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest … to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation … derive the sensitivity of the univariate portfolio GARCH variance to the portfolio weights, by analytically computing the …

Persistent link: https://www.econbiz.de/10005222359

L'impact des signaux de politique monétaire sur la rentabilité et la volatilité des actions du CAC 40

Belgacem, Aymen - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2008

In this paper, we investigate the impact of surprises made by scheduled monetary policy announcements on French stock market. Most of empirical studies achieved tends to test this effect on U.S stock market. Taken the French market as a representative European stock markets, we study the effect...

Persistent link: https://www.econbiz.de/10005094012

On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting

Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009

. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …

Persistent link: https://www.econbiz.de/10005078954