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The implications of Brexit for UK and EU regional competitiveness

Thissen, Mark; Oort, Frank van; McCann, Philip; … - 2019

Any form of Brexit will impact heterogeneously in terms of sectors and regions on the competitiveness of firms in both the UK and Europe. The ongoing uncertainty about the conditions under which the UK will be leaving the EU, creates difficulties in structurally estimating these impacts. Using...

Persistent link: https://www.econbiz.de/10012057174

Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility

Bos, Charles S. - 2008

Persistent link: https://www.econbiz.de/10003645209

Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility

Bos, Charles S. - 2008

setting is used to estimate the intra-day trend in the Euro/U.S. Dollar exchange rate. …

Persistent link: https://www.econbiz.de/10011374428

Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted … in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models … that there is no dominating class of time series models, and the different currency pairs relationships with the US dollar …

Persistent link: https://www.econbiz.de/10011378229

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999

Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...

Persistent link: https://www.econbiz.de/10011302131

Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form

Bos, Charles S.; Shephard, Neil G. - 2004

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...

Persistent link: https://www.econbiz.de/10011334849

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006

, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using …

Persistent link: https://www.econbiz.de/10011343243

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001

We construct models which enable a decision-maker to analyze the implications oftypical timeseries patterns of daily exchange rates for currency risk management. Ourapproach is Bayesianwhere extensive use is made of Markov chain Monte Carlo methods. The effects ofseveral modelcharacteristics...

Persistent link: https://www.econbiz.de/10011313921

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...

Persistent link: https://www.econbiz.de/10011483824

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2005

Persistent link: https://www.econbiz.de/10002851741