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Duration, volume and volatility impact of trades

Manganelli, Simone - 2002

This paper develops a new econometric framework to model duration, volume and volatility simultaneously. We obtain an econometric reduced form that incorporates causal and feedback effects among these variables. We construct impulse-response functions that show how the system reacts to a...

Persistent link: https://www.econbiz.de/10011604171

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 - 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/10011604200

Sensitivity analysis of volatility: a new tool for risk management

Manganelli, Simone; Ceci, Vladimiro; Vecchiato, Walter - 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/10011604240

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression eroor as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10011604242

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

Castrén, Olli - 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/10011604456

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

Hillebrand, Eric; Schnabl, Gunther - 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/10011604696

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - 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/10011605015

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - 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/10011605063

Temporal networks in the analysis of financial contagion

Franch, Fabio; Nocciola, Luca; Vouldis, Angelos - 2022

This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and temporal node centralities in an economic...

Persistent link: https://www.econbiz.de/10013367996