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Contemporaneous threshold autoregressive models : Estimation, forecasting and rational expectations applications

Dueker, Michael (contributor); Sola, Martin (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001983084

Foreign exchange rates dont́ follow a random walk

Guo, Hui (contributor); Savickas, Robert (contributor) - 2005

"The paper documents a new empirical result that a high level of aggregate U.S. idiosyncratic stock return volatility is usually associated with a future appreciation in U.S. dollars. The relation is highly significant for most foreign currencies. For example, idiosyncratic volatility accounts...

Persistent link: https://www.econbiz.de/10002995302

Identifying the effects of central bank intervention

Neely, Christopher J. (contributor) - 2005 - rev.

"Most intervention studies have been silent on the assumed structure of the economic system--implicitly imposing implausible assumptions--despite the fact that inference depends crucially on such issues. This paper proposes to identify the cross-effects of intervention with the level and...

Persistent link: https://www.econbiz.de/10002977390

Can Markov switching models predict excess foreign exchange returns?

Dueker, Michael (contributor); … - 2003 - [Elektronische Ressource], rev.

Persistent link: https://www.econbiz.de/10001964834

How well do monetary fundamentals forecast exchange rates?

Neely, Christopher J. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001971215

Forecasting foreign exchange volatility : is implied volatility the best we can do?

Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001974118

Predicting exchange rate volatility : genetic programming vs. GARCH and RiskMetrics

Neely, Christopher J. (contributor); … - 2001 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001941461

How open is the U.S economy?

Hafer, Rik W. (ed.) - 1986

Persistent link: https://www.econbiz.de/10013501890

Speculation in the oil market

Juvenal, Luciana; Petrella, Ivan - Federal Reserve Bank of St. Louis - 2011

price comovement between different commodities. We analyze whether speculation in the oil market played a key role in … (FAVAR) model. We analyze the role of speculation in comparison to supply and demand forces as drivers of oil prices. The … prices in the last decade is mainly explained by the strength of global demand. However, financial speculation played a …

Persistent link: https://www.econbiz.de/10009320862

Speculative bubbles and financial crisis

Wang, Pengfei; Wen, Yi - Federal Reserve Bank of St. Louis - 2009

Why are asset prices so much more volatile and so often detached from their fundamentals? Why does the burst of financial bubbles depress the real economy? This paper addresses these questions by constructing an infinite-horizon heterogeneous-agent general-equilibrium model with speculative...

Persistent link: https://www.econbiz.de/10004973913