This paper evaluates the ability of dividend ratios to predict the equity premium. We conduct an in and out-of-sample comparative study and apply the Goyal and Welch (2003) graphical method to equity premia derived from the UK FTSE All-Share and the S&P 500 indices. Preliminary in-sample...

This paper focuses on forecasting volatility of high frequency Euro exchange rates. Four 15 minute frequency Euro exchange rate series, including Euro/CHF, Euro/GBP, Euro/JPY and Euro/USD, are used to test the forecast performance of six models, including both traditional time series volatility...

We consider the effect of interventions by the Bank of Japan in the foreign exchange market during the period 2000-2004. During this period the interventions are of substantial magnitude, relatively frequent, not co-ordinated and take place within the 'zero interest rate' monetary policy regime....

This paper evaluates the ability of dividend ratios to predict the equity premium. We conduct an out-of-sample comparative study and apply the Goyal and Welch (2003) methodology to equity premia derived from the UK FTSE All-Share and the Samp;P 500 indices. Preliminary in-sample univariate...

We develop extensions of the variance-ratio statistic for testing the hypothesis a time series is uncorrelated and investigate their finite-sample performance. The tests employ an estimator of the asymptotic covariance matrix of the sample autocorrelations that is consistent under the null for...

We use Generalized Andrews-Ploberger (GAP) tests to examine the random-walk behavior of 17 OECD countries' euro exchange rates at daily frequencies. The GAP tests reject the hypothesis of random-walk behavior less often than do traditional tests. Moreover, the random-walk hypothesis cannot be...

The finite sample distributions of estimators and test statistics in ARMA time series models are generally unknown. For typical sample sizes, the approximations provided by asymptotic distributions are often unsatisfactory. Hence simulation or numerical integration methods are used to...