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Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market
Nolte, Ingmar; Voev, Valeri - 2007
We develop a panel intensity model, with a time varying latent factor, which captures the influence of unobserved time … & Hautsch (2006) to panel duration data. We show how to estimate the model parameters by a simulated maximum likelihood … behavioral biases and discuss implications for portfolio theory. …
Persistent link: https://www.econbiz.de/10010266949
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Monetary policy shocks in a two-sector open economy: an empirical study
Llaudes, Ricardo - 2007
This paper studies the effects and the transmission mechanism of unexpected monetary policy shocks in an open economy setting within the context of a VAR frame- work. It considers an economy with two sectors, a tradable sector and a non-tradable sector. For a given country, economic sectors are...
Persistent link: https://www.econbiz.de/10011604845
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Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form
Bos, Charles S.; Shephard, Neil - 2004
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
Persistent link: https://www.econbiz.de/10010325429
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Estimating high-frequency based (co-) variances: A unified approach
Nolte, Ingmar; Voev, Valeri - 2007
We propose a unified framework for estimating integrated variances and covariances based on simple OLS regressions allowing for a general market microstructure noise specification. We show that our estimators can outperform in terms of the root mean squared error criterion the most recent and...
Persistent link: https://www.econbiz.de/10010266938
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Does the nominal exchange rate regime affect the real interest parity condition?
Dreger, Christian - 2008
system and the current managed float. Panel integration techniques are used to increase the power of the tests. Cross section …
Persistent link: https://www.econbiz.de/10010291771
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Cross-section Dependence and the Monetary Exchange Rate Mode – A Panel Analysis
Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - 2011
unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we … von 1973 bis 2007 für 19 OECD-Länder. Im ersten Schritt wird durch die Anwendung einer Faktorenanalyse zwischen …
Persistent link: https://www.econbiz.de/10010274448
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Cointegration and the stabilizing role of exchange rates
Alexius, Annika; Post, Erik - 2006
the empirical specification. Another major difference between the models with the opposite implication for the shock … creation versus shock absorption debate is that non-fundamental exchange rate shocks have much larger effects on output and …
Persistent link: https://www.econbiz.de/10010321604
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Sources of Euro Real Exchange Rate Fluctuations: What Is Behind the Euro Weakness in 1999-2000?
Gottschalk, Jan; Döpke, Jörg; Kamps, Christophe - 2001
This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...
Persistent link: https://www.econbiz.de/10010260459
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The Euro Introduction and Non-Euro Currencies
van Dijk, Dick; Munandar, Haris; Hafner, Christian M. - 2005
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10010325483
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Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate
Reitz, Stefan - 2002
In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...
Persistent link: https://www.econbiz.de/10010295734