We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying...

In this paper, the relationship between excess returns on foreign exchange investment and inflation differentials and a measure of volatility is investigated for the European Monetary System. A high inflation rate relative to Germany leads to a real appreciation relative to the D-mark, which...

We evaluate the out-of-sample performance of a long-term investor who follows an optimized dynamic trading strategy. Although the dynamic strategy is able to benefit from predictability out-of-sample, a short-term investor using a single period market timing strategy would have realized an...

Panel unit-root and no-cointegration tests that rely on cross-sectional independence of the panel unit experience severe size distortions when this assumption is violated, as has, for example, been shown by Banerjee, Marcellino and Osbat ["Econometrics Journal" (2004), Vol. 7, pp. 322-340;...

Several panel unit root tests that account for cross-section dependence using a common factor structure have been proposed in the literature recently. Pesaran's (2007) cross-sectionally augmented unit root tests are designed for cases where cross-sectional dependence is due to a single factor....

Several panel unit root tests that account for cross section dependence using a common factor structure have been proposed in the literature recently, notably Pesaran (2003), Moon and Perron (2004) and Bai and Ng (2004). This paper is aimed at comparing these three proposed unit root tests for...

In this paper, we consider a cointegrated panel data model with non-stationary common factors, which, because of its appeal in many economic applications, has received much attention in the recent literature. By deriving a Granger-type representation theorem, we obtain several equivalent model...