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...

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992-2003. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on...

We propose a specification of the euro/dollar real exchange rate based on the productivity differential, the governments spending differential and the real interest rate differential. This model suitably describes the euro/dollar path over the last two decades and presents satisfactory...

In the last decade, the performances of hedge funds were surprisingly satisfactory and recurrent. However, the bankruptcy of LTCM reminded investors of the risks associated with this asset class. The purpose of this study is to analyse systematically the relationship between the performances of...

We compare the performance of several Value-at-Risk (VaR) models when applied to a high frequency hedge fund index. Our analysis is carried out on the Barclay/Calyon CTA daily index available since early 2000. We use 1-day-ahead VaR forecasts for various thresholds (10%, 5% and 1%) and apply...

The aim of this text is to analyse the dynamics of European long-rate volatility, as measured at various frequencies (intraday, daily). We identify and quantify the dimension of the diverse components of volatility: long memory and ARCH effects, seasonal effects, news announcements. Among the...

In this study, we apply a two-step conditional Bayesian approach to hedge fund risk. In the first step, a mixture of two normal distributions is estimated for a core asset, one distribution being identified as linked to a quot;quietquot; regime, the other one to a quot;hecticquot; regime. The...

Alternative assets are gaining increasing importance in investor's portfolios. One of their defining characteristic is their poor liquidity which often translates into an inherent smoothing process of the returns. For asset allocation purposes, this feature has to be seriously addressed as it...

Hedge fund replication based on factor models is encountering growing interest. In this paper, we investigate the implications of substituting standard rolling windows regressions, which appear ad-hoc, with more efficient methodologies like the Kalman Filter. We show that the copycats...

Recent experience has shown the importance of shocks in sovereign bond markets and the propagation of these shocks at the international level. This text analyzes these extreme risks, both in the univariate (crisis in a sole country) and the multivariate (contagion phenomena) dimensions, using...