The difficulty of beating the random walk in forecasting spot foreign exchange rates is well documented, with the restricted VECM of Clarida and Taylor (1997) providing the primary challenge. We seek to extract the informational content of the forward rate term structure through the...

We utilise functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange markets. In particular, we examine the daily implied volatility curves of FX options, namely; EUR-USD, EUR-GBP, and EUR-JPY. Based on existing techniques in the literature, the...

The predominant fear in capital markets is that of a price spike. Commodity markets differ in that there is a fear of both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity markets. The use of a novel functional data analysis...

An investigation into Exchange Traded Fund (ETF) outperformance during the period 2008-2012 is undertaken utilising a data set of 288 US traded securities. ETFs are tested for Net Asset Value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor and Sortino...

An investigation into exchange-traded fund (ETF) outperformance during the period 2008–2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and...