The evolution of the spreads between unsecured money market rates of various maturities and central banks’ key policy rates has been subject to considerable debate and controversy in relation to the worldwide financial market turbulence that started in August 2007. Our contribution to the...

In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...

A large-scale model of the global economy is used to investigate the structural determinants of the Great Moderation and the transition to the Great Recession (1986-2010). Beside the global economy perspective, the model presents the novel feature of a broad range of included financial variables...

The paper investigates the determinants of the US$/€ exchange rate since its introduction in 1999, with a special focus on the recent subprime mortgage and sovereign debt financial crises. The econometric model is grounded on the asset pricing theory of exchange rate determination, which...

A new approach to mean-variance efficient portfolio selection is introduced. The method is based on realized regression theory and the regression based portfolio selection approach of Britten-Jones (1999), yielding a conditional version of the Britten-Jones (1999) method. Application to euro...

In the paper a realized regression version of the Britten-Jones (1999) portfolio selection approach is proposed, yielding a conditional mean-variance efficient portfolio selection strategy. Application to euro area stock markets diversification, differently from other standard approaches,...

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...

We introduce a model for the analysis of intraday volatility of exchange rates returns, based on the structural time series methodology. The stochastic seasonal component is useful to model intra-day effects which may be different from one day to the other. The model is estimated with high...

The growth in the size of the hedge funds industry has led some in-vestors to worry about a decline in alphas, associated with reduced arbitrage opportunities in international financial markets. We introduce a multivariate components model for returns and net relative inflows into hedge funds,...