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linear estimation and propose a bootstrap procedure for conducting inference. By employing monthly data from the Dutch …
Persistent link: https://www.econbiz.de/10014313698
This paper investigates why the forward premium predicts the future depreciation with the "wrong" sign and why the unobserved deviation from rational uncovered interest parity is negatively correlated with and is more volatile than the rationally expected depreciation. We examine the ability of...
Persistent link: https://www.econbiz.de/10010336366
model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …
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The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...
Persistent link: https://www.econbiz.de/10011326944
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10011335205
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
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