volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …

the first part where a new bivariate correlation estimator is introduced. This estimator is shown to be more flexible than … interdependencies (spillovers) and proposes a classification. An adequate estimation framework to investigate spillovers conditional on … interdependencies can occur. Finally, the existence of contagion in financial markets is examined. …

, the interest rate parity, the purchasing power parity, the asset market model and the reflectivity theory. Also the …

We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for … generalized error distribution. The overall findings are that volatility path dependence has a limited effect on exchange rate … developments and introduction of floating regimes tends to increase exchange rate volatility. During the period of flexible regimes …

areinfluenced by similar factors. In order to justify the applicability of a number of volatility modelling techniques, we also … volatility clustering, non-linearity, non-normality and asymmetry. Our results suggest that exchange rate behaviour in these … the volatility of exchange rate in these countries.We however observed that the ARCH family of models does not always …

). 'Likelihood-based estimation of latent generalized ARCH structures', Econometrica, 72(5), 1481-1517. [The definitive version is …

This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time … factor model with that of the heavy tailed univariate stochastic volatility model. A unified analysis of the model, and its … special cases, is developed that encompasses estimation, filtering and model choice. The centerpieces of the estimation …

-WOODS - 3. THEORIE DER ZIELZONEN - 4. WECHSELKURSSPEKULATION IM KRUGMAN-MODELL - 5. WECHSELKURSSPEKULATION IN ZIELZONEN ALS … analysed:1. INTRODUCTION - 2. THE DISCUSSION ABOUT TARGET ZONES IN THE POST BRETTON WOODS ERA - 3. TARGET ZONE THEORY - 4 …

only non-generically. The true arbitrage-free correlation between the exchange rate, interest rates, and security prices is …

explaining exchange rate movements. The asset market theory of exchange rate determination implies that exchange rates are mainly … driven by the development of macroeconomic fundamentals. Furthermore the asset market theory assumes that foreign exchange … speculation, economic theory states that speculation can have either a stabilizing effect or a destabilizing effect on exchange …