Using intra-day data, this paper investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to...

This paper examines short-horizon return predictability of ten largest international securitized real estate markets, with special attention paid to exploring possible nonlinearity-in-mean as well as nonlinearity-in-variance predictability. Although international securitized real estate returns...

Using high frequency data, this paper first time comprehensively examines the intraday efficiency of four major energy (crude oil, heating oil, gasoline, natural gas) futures markets. In contrast to earlier studies which focus on in-sample evidence and assume linearity, the paper employs various...

Intraday currency futures prices react to both surprises in the federal funds target rate (the target factor) and surprises in the anticipated future direction of Federal Reserve monetary policy (the path factor) by a similar magnitude, and the reaction is short-lived. Dollar-denominated...

This paper examines effects of monetary policy surprises on returns, volatilities, trading volumes, and bid-ask spread of two equity ETFs, the Samp;P 500 SPY fund and the Samp;P 400 MDY fund. The policy surprises are measured by both surprises in the federal funds rate target changes and...

Using high frequency returns, we examine realized volatility and correlation on the NYMEX light, sweet crude oil and Henry-Hub natural gas futures contracts. The unconditional distributions of daily returns and daily realized variances are non-Gaussian while the distributions of the standardized...

This article examines effects of monetary policy surprises on returns, volatilities, trading volumes, and bid–ask spread of two equity ETFs, the S&P 500 SPY fund and the S&P 400 MDY fund. The policy surprises are measured by both surprises in the federal funds rate target changes and surprises...

Using high‐frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry‐Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non‐Gaussian, whereas the distributions of the...

Portada con emblema xilográfico que representa a San Fernando, Fernando III de Castilla acompañado de S. Isidoro y S. Leandro de Sevilla, con dos maceros, uno a cada lado. ; Letra inicial y viñeta xilográfica. ; Texto inicial: "Aqui se trata de que se labre en España todas las cosas que se...

This paper reviews the evolution of China''s real effective exchange rate between 1980 and 2002, and uses a structural vector autoregression model to study the relative importance of different types of macroeconomic shocks for fluctuations in the real exchange rate. The structural decomposition...