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The Multiscale Causal Dynamics of Foreign Exchange Markets
Bekiros, Stelios; Marcellino, Massimiliano - Department of Economics, European University Institute - 2011
volatility structure and the implications for the flow of information across scales are inferred. The examined period starts from …
Persistent link: https://www.econbiz.de/10009024972
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Risk Neutral Forecasting.
Skouras, S. - Department of Economics, European University Institute - 1998
This paper develops statistical and computational tools for modelling returns forecasts to be used by a risk neutral investor. Any forecast with the same sign as the conditional mean optimises the loss function derived from this agents' decision problem, so the class of optimal predictors is...
Persistent link: https://www.econbiz.de/10005816446
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Nonlinear causality testing with stepwise multivariate filtering
Bekiros, Stelios - Department of Economics, European University Institute - 2011
This study explores the direction and nature of causal linkages among six currencies denoted relative to United States dollar (USD), namely Euro (EUR), Great Britain Pound (GBP), Japanese Yen (JPY), Swiss Frank (CHF), Australian Dollar (AUD) and Canadian Dollar (CAD). These are the most liquid...
Persistent link: https://www.econbiz.de/10009024970
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A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
Kascha, Christian - Department of Economics, European University Institute - 2007
Classical Gaussian maximum likelihood estimation of mixed vector autoregressive moving-average models is plagued with various numerical problems and has been considered di±cult by many applied researchers. These disadvantages could have led to the dominant use of vector autoregressive models in...
Persistent link: https://www.econbiz.de/10005697668
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The Effect of a Transaction Tax on Exchange Rate Volatility
Lanne, Markku; Vesalay, Timo - Department of Economics, European University Institute - 2005
We argue that a transaction tax is likely to amplify, not dampen, volatility in the foreign exchange markets. Our … trades disproportionately, leading to increased volatility. Empirical support for this prediction is found by investigating … the effect of transaction costs on the volatility of DEM/USD and JPY/USD returns. High-frequency data are used and an …
Persistent link: https://www.econbiz.de/10005744342
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The detection of hidden periodicities: A comparison of alternative methods
ARTIS, Michael; HOFFMANN, Mathias; NACHANE, Dilip; … - Department of Economics, European University Institute - 2004
"Fixed frequency effect models" represent a powerful tool for analyzing time series exhibiting strong periodicities. However, in spite of their appeal to the practitioner, their use has been constrained by ignorance about their statistical properties. This paper attempts to oer a comparison...
Persistent link: https://www.econbiz.de/10005697715
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Consumption and Debt Dynamics with (Rarely Binding) Borrowing Constraints
Anagnostopoulos, Alexis - Department of Economics, European University Institute - 2004
This paper examines consumption and savings dynamics in a standard model of incomplete markets. Existence of equilibrium requires the imposition of exogenous debt limits but these are often ignored because of the computational difficulties that arise in models with occasionally binding...
Persistent link: https://www.econbiz.de/10005697731
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Recursive Contracts
Marcet, Albert; Marimon, Ramon - Department of Economics, European University Institute - 2011
We obtain a recursive formulation for a general class of contracting problems involving incentive constraints. These constraints make the corresponding maximization sup problems non-recursive. Our approach consists of studying a recursive Lagrangian. Under standard general conditions, there is a...
Persistent link: https://www.econbiz.de/10009018173
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An Application of Cox's Non-Nested Test to trinomial Logit and Probit Models
Monfardini, C. - Department of Economics, European University Institute - 1997
The Cox statistic for non nested models is used to test the probit and logit specifications estimated by Bardasi and Monfardini (1997) for the occupational choice of the Italian workers among the private, the public and the self-employed options. Computation of different versions of test is...
Persistent link: https://www.econbiz.de/10005557749
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Inequality Constraints in Recursive Economies
Rendahl, Pontus - Department of Economics, European University Institute - 2006
Dynamic models with inequality constraints pose a challenging problem for two major reasons: Dynamic Programming techniques often necessitate a non established differentiability of the value function, while Euler equation based techniques have problematic or unknown convergence properties. This...
Persistent link: https://www.econbiz.de/10005816405