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Yin-yang volatility in scale space of price-time: a core structure of financial market risk
Pan, Heping - In: China Finance Review International 2 (2012) August, pp. 377-405
Purpose–The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets …/methodology/approach–The volatility of the financial market price is usually defined with the standard deviation or variance of the price or price returns …. This standard definition of volatility is split into the upper part and the lower one, which are termed here as Yang …
Persistent link: https://www.econbiz.de/10010565828
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The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
Neely, Christopher; Lahaye, Jerome - Federal Reserve Bank of St. Louis - 2014
We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990 … different implications for the impact of jumps on exchange rate volatility transmission. Specifically, isolated and successive … jumps have opposite predictions for future volatility. Although the realized volatility literature finds that heat wave …
Persistent link: https://www.econbiz.de/10010951615
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MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING
Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008
Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early … foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard … exchange was deregulated, independent traders finally had access to the biggest trading market of the world; and these forex …
Persistent link: https://www.econbiz.de/10005619306
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Can Equilibrium Models Replicate the Stochastic Properties of the Exchange Rates?/¿Se pueden replicar las propiedades estocásticas del tipo de cambio con un modelo de Equilibrio?....
MARTÍN, JIMÉNEZ; ÁNGEL, JUAN - In: Estudios de Economía Aplicada 24 (2006) Abril, pp. 361-395
The two-country monetary model has become a fundamental tool for explaining the behavior of the exchange rate. However, the popularity of this approach is not justifi ed by its empirical support. One of the reasons for the empirical “failure” of exchange rate models could be the econometric...
Persistent link: https://www.econbiz.de/10005814508
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Econometric analysis of present value models when the discount factor is near one
West, Kenneth D. - In: Journal of Econometrics 171 (2012) 1, pp. 86-97
imprecise estimation of a well-studied regression relating spot and forward exchange rates. …
Persistent link: https://www.econbiz.de/10010594955
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An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999.
Campa, J.M.; Chang, P.H.K.; Refalo, J.F. - Centro de Estudios Monetarios y Financieros (CEMFI) - 2000
This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. Using options data, we derive implied probability density...
Persistent link: https://www.econbiz.de/10005625762
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
Jorda, Oscar; Taylor, Alan M. - National Bureau of Economic Research (NBER) - 2009
strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated …
Persistent link: https://www.econbiz.de/10008628426
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2009
strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated …
Persistent link: https://www.econbiz.de/10008491718
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Currency Carry Trades
Jorda, Oscar; Taylor, Alan M.; Berge, Travis J. - National Bureau of Economic Research (NBER) - 2010
A wave of recent research has studied the predictability of foreign currency returns. A wide variety of forecasting structures have been proposed, including signals such as carry, value, momentum, and the forward curve. Some of these have been explored individually, and others have been used in...
Persistent link: https://www.econbiz.de/10008684847
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Segmentation and Time-of-Day Patterns in Foreign Exchange Markets
Ranaldo, Angelo - Schweizerische Nationalbank (SNB) - 2007
This paper sheds light on a puzzling pattern in foreign exchange markets: Domestic currencies appreciate (depreciate) systematically during foreign (domestic) working hours. These time-of-day patterns are statistically and economically highly significant. They pervasively persist across many...
Persistent link: https://www.econbiz.de/10005091306