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The jump component of S&P 500 volatility and the VIX index
Becker, Ralf; Clements, Adam; McClelland, Andrew - 2009
Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts....
Persistent link: https://www.econbiz.de/10009483523
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Essays on Exchange Rate Regime-Related Risks in CEE Countries
Slacik, Tomas - 2008
, dass Kosten, die durch den Verlust einer nominellen Trendaufwertung der Koruna gegenüber dem Euro entstehen, eher moderat …
Persistent link: https://www.econbiz.de/10009480178
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Threshold co-integration in the purchasing power parity
Orthofer, Anna - 2010
Modell. Weiters deuten die Resultate auf einen asymmetrischen Anpassungsprozess hin, da eine Überbewertung des Euro in Bezug …
Persistent link: https://www.econbiz.de/10009480282
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Monetary policy and its impact on the linkage between short-term and long-term interest rates
Dolenz, Christian - 2010
letzten drei Dekaden und die drei geographischen Gebiete der Vereinigten Staaten von Amerika, Großbritannien und der Euro Zone …
Persistent link: https://www.econbiz.de/10009480355
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An alternative approach to international finance: China's official reserve accumulation
Deer, Luke Damien - 2010
This thesis seeks to develop an alternative conceptual framework through which to understand international finance. It then applies this framework to the case of China’s recent official foreign exchange accumulation. One view of international financial relations suggests an agendaof...
Persistent link: https://www.econbiz.de/10009480029
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(WP 2011-02) Predicting Changes in Corporate Governance in Emerging Markets
Braga-Alves, Marcus; Morey, Matthew - 2011
This paper investigates what predicts changes in corporate governance in emerging markets. To conduct this study we utilize a unique data set from AllianceBernstein that consists of monthly firm-level corporate governance ratings for 24 emerging market countries for almost seven years. Since the...
Persistent link: https://www.econbiz.de/10009484519
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Exchange rate exposure of U.S. industries
Luangnarumitchai, Jakkapan - 2009
This thesis examines exchange rate exposure of 30 U.S. industries between 1974 and 2008 using traditional and orthogonalized linear models. Similar to the literature, when using traditional linear model we find that exposure is very time dependent and often insignificant. However, we discover...
Persistent link: https://www.econbiz.de/10009475845
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Nominal versus Real Convergence with Respect to EMU Accession.How to Cope with the Balassa-Samuelson Dilemma
Paul de Grauwe; Gunther Schnabl - 2004
within the projected time frame. Despite the merits of nominal appreciation, countries committed to hard euro pegs might …
Persistent link: https://www.econbiz.de/10009483190
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The World Monetary System and External Relations of the EMU ?? Fasten your safety belts!
ECSA-Austria: European Integration online Papers
Traditionally clustered around one leading "hegemonic" world currency, with the introduction of the euro the … in the international consequences of the introduction of the Euro and analyzes the costs and gains from cooperation in …
Persistent link: https://www.econbiz.de/10009483196
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The monetary framework after accession ?? a political economy analysis of ERM2
ECSA-Austria: European Integration online Papers
of EMU). Second it reviews how ERM2 is conducive to future euro-zone membership of the accession countries. From the … "outs" to fulfill the convergence criteria, and whether in this case "ins" open the door for the "outs" to enter the euro … of the Central and Eastern European accession countries to the euro area. In order to overcome these pitfalls the author …
Persistent link: https://www.econbiz.de/10009483197