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....

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...

We assess the performances of alternative procedures for forecasting the daily volatility of the euro's bilateral exchange rates using 15 min data. We use realized volatility and traditional time series volatility models. Our results indicate that using high-frequency data and considering their...

The uniqueness of the online shopping environment and the rapid growth of the online retail sales make it important to understand how consumers search for information in an online setting. This dissertation takes both the adaptive decision making approach and the cost-benefit approach to examine...

In this paper, we propose a method for finding policy function improvements for a single agent in high-dimensional Markov dynamic optimization problems, focusing in particular on dynamic games. Our approach combines ideas from literatures in Machine Learning and the econometric analysis of games...