In this study we compare volatility forecasts over a thirty-minute horizon for the spot exchange rates of the Deutsche Mark and the Japanese Yen against the US dollar. Explicitly modeling the intraday seasonal pattern improves the out-of-sample forecasting performance. We find that a seasonal...

In this article we compare volatility forecasts over a thirty-minute horizon for the spot exchange rates of the Deutsche mark and the Japanese yen against the U.S. dollar. Explicitly modeling the intraday seasonal pattern improves the out-of-sample forecasting performance. We find that a...

This paper investigates the link between information arrivals and intraday DEM/$ volatility. Information arrivals are measured by the numbers of news items that appeared in the Reuters News Service. We separate news stories into different categories and find that total headline news counts have...

Financial statements contain quantitative information and manager's subjective evaluation of firm's financial status. Using information released in U.S. 10-K filings. Both qualitative and quantitative appraisals are crucial for quality financial decisions. To extract such opinioned statements...

We evaluate the impact of bank relationships on firm performance for a sample of Taiwanese firms around the 1997 Asian financial crisis. We find a negative relation between the number of domestic-bank relationships and firm performance, but a positive relation between the number of foreign-bank...