The paper ”Exotic Option Pricing in Stochastic Volatility Levy Models and with Fractional Brownian Motion” aims on extending the restrictive Black-Scholes model by allowing volatility to evolve randomly. These models are used to price exotic derivatives and certificates. The first stochastic...

Already before the EU Directive 96/92/EG was passed in 1996, some countries in the EU had started their liberalisation process for energy markets. So, in 1991, Norway established a national power market that in 1996 turned into the multinational power exchange Nord Pool, including all Nordic...

The major objective of this thesis is to investigate whether there exists a stable long run and short run equilibrium relationship between real money balances (M1 or M2) and their determinants in Thailand. A cointegration analysis and the Vector Error Correction Model (VECM) are conducted on...

Whether or not currency markets may be regarded as efficient or not has been a hotly debated issue in the academic literature over recent decades. Economic theory would suggest that these markets should be efficient because they are apparently good examples of a perfectly competitive market...

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient...

This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the...

Nominal exchange rate volatility has been greater than that of "fundamentals" supposed to establish the exchange rates. A major contribution to our understanding of this volatility was given by Rudiger Dornbusch in his 1976 paper "Expectations and Exchange Rate Dynamics", where stickiness of...

Finding evidence of the theoretical relationship between exchange rate and inflation has been a difficult proposition in an exchange rate market, despite many studies in developed markets. Three recent papers employing a new research design, Theil’s Divisia index method, found that this...

This paper extends the literature by looking at the contribution of non-parity variables after extracting the impact of parity variables on exchange rates of Australia and the Asia Pacific countries. Exchange rates are examined using high- and low-frequency multi-country panel time series data...

The paper focus on the time adjustment paths of the exchange rate and agricultural producer and industrial prices in response to unanticipated monetary shocks following model developed by Saghaian et al. (2002). We employ Johansen’s cointegration test along with a vector error correction model...