We estimate FIGARCH models with data sets of daily and thirty minute returns on the Deutsche mark-US dollar exchange rate. The results point to the importance of accurately modelling the persistence properties of volatility in terms of structural breaks and long memory, and controlling for...

We compare the computation of Value at Risk with daily and with high frequency data for the Deutschmark-US dollar exchange rate. Among the main points considered in the paper are: (a) the comparison of measures of Value at Risk on the basis of multi-step volatility forecasts; (b) the computation...

The objective of this analysis is to determine the movements (long-term trend) of the exchange rate by looking at the rate of return and risk that financial assets (3-month T-bills) have in four different economies, for four different investors. Risk averse speculators will try to maximize their...

In this paper, we forecast excess stock returns of S&P 500 index from January 1997 to December 2012 using both well-known traditional macroeconomic indicators and oil market variables. Based on a dynamic model selection approach, we find that the forecasting accuracy can be improved after adding...

This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: i) are FX authorities able to influence market expectations with different instruments? ii) how should interventions be...

We study the forecasting of future realized volatility in the stock, bond, and foreign exchange markets, as well as the continuous sample path and jump components of this, from variables in the information set, including implied volatility backed out from option prices. Recent nonparametric...

This paper deals with statistics' and econometrics' properties of fractionally integrated GARCH (FIGARCH). We compare these characteristics with those of traditional models. We insist on the GARCH exponential/IGARCH infinite decrease of volatility impact. Then, we apply it on three Tunisian...

We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. The joint distribution of excess returns in the foreign exchange market and the observable macroeconomic factors is modeled using the stochastic discount factor (SDF) approach and a...

Complex interactions between fundamentals and liquidity during unstable periods in financial markets are succinctly modeled with coordination games. We propose a flexible framework to estimate such a model and use the efficient method of moments as estimation procedure. We illustrate the model...

In this paper, we apply the alternative long-horizon regression approach proposed by Fisher and Seater (1993) to study the long-run relationship between nominal exchange rates and fundamentals. We find evidence supporting the explanatory power of exchange rate models. In particular, the...