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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10011256871
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The Forward Premium Puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - Tinbergen Instituut - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10011256149
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The Forward Premium Puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - Tinbergen Institute - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10005137192
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The Euro Introduction and Non-Euro Currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - Tinbergen Instituut - 2005
This discussion paper resulted in a publication in 'Applied Financial Economics', 2011, 21, 95-116.<P> This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates...</p>
Persistent link: https://www.econbiz.de/10011255883
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Defending against Speculative Attacks
Daniels, Tijmen R.; Jager, Henk; Klaassen, Franc - Tinbergen Institute - 2008
While virtually all modern models of exchange rate crises recognise that the decision to abandon an exchange rate peg depends on how harshly policy makers are willing to defend the regime, they virtually never model how the exchange rate is defended. In this paper we incorporate both the...
Persistent link: https://www.econbiz.de/10005209456
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Model-free Measurement of Exchange Market Pressure
Klaassen, Franc; Jager, Henk - Tinbergen Institute - 2007
If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....
Persistent link: https://www.econbiz.de/10005136975
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The Euro Introduction and Non-Euro Currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - Tinbergen Institute - 2005
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10005137141
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Defending against Speculative Attacks
Daniels, Tijmen R.; Jager, Henk; Klaassen, Franc - Tinbergen Instituut - 2008
While virtually all modern models of exchange rate crises recognise that the decision to abandon an exchange rate peg depends on how harshly policy makers are willing to defend the regime, they virtually never model how the exchange rate is defended. In this paper we incorporate both the...
Persistent link: https://www.econbiz.de/10011256910
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Model-free Measurement of Exchange Market Pressure
Klaassen, Franc; Jager, Henk - Tinbergen Instituut - 2007
If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....
Persistent link: https://www.econbiz.de/10011257027
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A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
Heidergott, Bernd; Volk-Makarewicz, Warren - Tinbergen Instituut - 2013
Quantiles play an important role in modelling quality of service in the service industry and in modelling risk in the financial industry. Recently, Hong showed in his breakthrough papers that efficient simulation based estimators can be obtained for quantile sensitivities by means of sample path...
Persistent link: https://www.econbiz.de/10011257156