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The impact of subprime mortgage on correlation between stock and FX markets
Chang, Hsiu-yun; Kuo, Yen-ching - In: Applied economics letters 17 (2010) 13/15, pp. 1309-1312
Persistent link: https://www.econbiz.de/10008938303
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How stable are monetary models of the Dollar-Euro exchange rate? : a time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro … (the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …
Persistent link: https://www.econbiz.de/10003898577
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Volatility patterns of CDS, bond and stock markets before and during the financial crisis : evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
This study is motivated by the development of credit-related instruments and signals of stock price movements of large banks during the recent financial crisis. What is common to most of the empirical studies in this field is that they concentrate on modeling the conditional mean. However,...
Persistent link: https://www.econbiz.de/10009347974
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Predictability of equity returns during a financial crisis
Shynkevich, Andrei - In: Applied economics letters 23 (2016) 16/18, pp. 1201-1205
Persistent link: https://www.econbiz.de/10011701849
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U.S. Banks, Crises, and Bailouts : From Mexico to LTCM
Stulz, Rene M. - 2000
This paper investigates the impact on bank stock prices of emerging market currency crises and bailouts. The stock market distinguishes between banks with exposure to a crisis country and other banks. In general, banks with exposures to a crisis country are affected adversely by currency events...
Persistent link: https://www.econbiz.de/10012471245
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When does it hurt? : the exchange rate "pain threshold" for German exports
Belke, Ansgar; Goecke, Matthias; Günther, Martin - 2009
euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play … area to about 1.55 US dollar per euro. In our interpretation, this is the current "pain threshold", where a strong spurt … reaction of exports to a further appreciation of the euro is expected to start. -- Exchange rate movements ; play hysteresis …
Persistent link: https://www.econbiz.de/10003891080
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen … dollar rate vis-à-vis the Euro and the Japanese Yen respectively. -- Fractional integration ; long memory ; exchange rates …
Persistent link: https://www.econbiz.de/10003931070
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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10009735715
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Return seasonality in the foreign exchange market
Tse, Yiuman - In: Applied economics letters 25 (2018) 1, pp. 5-8
Persistent link: https://www.econbiz.de/10011853573
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Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 1997
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012472795