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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

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

Can Markov switching models predict excess foreign exchange returns?

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

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

Is value premium a proxy for time-varying investment opportunities : some time series evidence

Guo, Hui (contributor) - 2005

to be robust using both the realized volatility model and the GARCH model, confirm that the value premium cannot be …

Persistent link: https://www.econbiz.de/10002995301

A Bayesian approach to counterfactual analysis of structural change

Kim, Chang-jin (contributor); Morley, James C. (contributor) - 2004 - [Elektronische Ressource], rev.

Persistent link: https://www.econbiz.de/10002496905

The less volatile U.S. economy : a bayesian investigation of timing, Breadth, and potential explanations

Kim, Chang-jin (contributor); Nelson, Charles R. (contributor) - 2003 - [Elektronische Ressource].rev

Persistent link: https://www.econbiz.de/10001965242

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 … currencies. For example, idiosyncratic volatility accounts for over 20 percent variations of the subsequent change in the … between a country's aggregate idiosyncratic volatility and the future U.S. dollar price of its currency--in France, Germany …

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

Recent developments in monetary macroeconomics and U.S. dollar policy

Gavin, William T. (contributor) - 2005

"This paper summarizes recent developments in the theory and practice of monetary policy in a closed economy and explains what these developments mean for U.S. dollar policy. There is no conflict between what is appropriate U.S. monetary policy at home or abroad because the dollar is the world's...

Persistent link: https://www.econbiz.de/10003139110

A comparison of the real-time performance of business cycle dating methods

Chauvet, Marcelle (contributor); … - 2005

"This paper evaluates the ability of formal rules to establish U.S. business cycle turning point dates in real time. We consider two approaches, a nonparametric algorithm and a parametric Markov-switching dynamic-factor model. In order to accurately assess the real-time performance of these...

Persistent link: https://www.econbiz.de/10002934316

Estimation of Markov regime-switching regression models with endogenous switching

Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001979877