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recent years, both in the US and in other markets. This paper also compares five different information aggregation approaches … approach outperform other approaches in capturing the return-related information. Moreover, results based on equal …
Persistent link: https://www.econbiz.de/10012913743
Economists often say that certain types of assets, e.g., Treasury bonds, are very "liquid". Do they mean that these assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory), or that they can be easily sold in a secondary market,...
Persistent link: https://www.econbiz.de/10012101372
This online appendix to "Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences" includes the copula density function for the Clayton-Frank-Gumbel mixture copula and the details for the likelihood based estimation of the multivariate currency basket log returns....
Persistent link: https://www.econbiz.de/10013004092
We find that exogenous structural shocks caused by terrorist attacks, wars, political turmoil and gold market specific events have a strong role to play in the analysis of dynamic relationships between gold and stock market returns. Our main finding is that the interaction between the gold...
Persistent link: https://www.econbiz.de/10012963146
Order flow toxicity is a measure of a trader's exposure to the risk that counter-parties possess private information or …
Persistent link: https://www.econbiz.de/10012989660
I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...
Persistent link: https://www.econbiz.de/10012928522
This paper compares the forecasting and hedging performance of 11 CAPM beta estimators across 54 international stock markets. The Welch (2022) age-decayed slope-winsorized beta estimator ranks first in predicting future realized OLS betas in 46 markets and is always within the top 3 performers....
Persistent link: https://www.econbiz.de/10014236466
The uncovered interest rate parity puzzle questions the economic relation existing between short term interest rate differentials and exchange rates. One would indeed expect that the differential of interest rates between two countries should be offset by an opposite evolution of the exchange...
Persistent link: https://www.econbiz.de/10013018402
The study examines the predictability of 48 sovereign bond markets based on a strategy of 27,000 technical trading rules. These rules represent four popular trading rule classes, they are: moving average, filtering, support and resistance, and channel breakout rules, with numerous variants in...
Persistent link: https://www.econbiz.de/10012895038
This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar … 29, 1996 to November 12, 2018. To address nonlinear and asymmetric spillover dynamics in low and high volatility states …
Persistent link: https://www.econbiz.de/10012893224