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The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
Neely, Christopher; Lahaye, Jerome - Federal Reserve Bank of St. Louis - 2014
We investigate the role of jumps in transmitting volatility between foreign exchange markets (Engle, Ito, and Lin, 1990; Melvin and Peiers Melvin, 2003; Cai, Howorka, and Wongswan, 2008). We show that recently developed estimators have very different implications for the impact of jumps on exchange rate...
Persistent link: https://www.econbiz.de/10010951615
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The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession
Doman, Malgorzata; Doman, Ryszard - In: Dynamic Econometric Models 13 (2013), pp. 5-32
We analyze the dynamics and strength of linkages between the Czech, Hungarian and Polish stock markets after the EU accession of the corresponding countries. In addition, we examine linkages between each of the markets and developed markets (European and US). The analysis is based on the daily...
Persistent link: https://www.econbiz.de/10011271658
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Econometric analysis of present value models when the discount factor is near one
West, Kenneth D. - In: Journal of Econometrics 171 (2012) 1, pp. 86-97
This paper develops asymptotic econometric theory to help understand data generated by a present value model with a … discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that … theory is quantitatively congruent with the modest departures from random walk behavior that are typically found and with …
Persistent link: https://www.econbiz.de/10010594955
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
the probability theory and the statistics theory application to accurately characterize the trends in the foreign …
Persistent link: https://www.econbiz.de/10011156962
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
the probability theory and the statistics theory application to accurately characterize the trends in the foreign …
Persistent link: https://www.econbiz.de/10011110289
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The US dollar-euro exchange rate and US-EMU bond yield differentials: A causality analysis
Sosvilla-Rivero, Simón; Ramos-Herrera, María del Carmen - In: Cuadernos de Economía - Spanish Journal of Economics … 35 (2012) 98, pp. 117-128
Este trabajo realiza un contraste de causalidad entre el tipo de cambio dólar estadounidense-euro y el diferencial de rendimiento de los bonos entre Estados Unidos y la Zona Euro. Para ello, se aplica el procedimiento secuencial de Hsiao (1981) a datos diarios para el período 1999-2011....
Persistent link: https://www.econbiz.de/10010929548
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The Peseta Real Exchange Rate: Which Are Its Determinants?
Camarero, M.; Esteve, V.; Tamarit, C. - Weiss Center for International Financial Research, … - 1996
This paper investigates the link among Spanish effective real exchange rate relative to the EU, the terms of trade and real interest differentials over the period 1980-1994.
Persistent link: https://www.econbiz.de/10005035805
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The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis
Sosvilla-Rivero, Simón; Ramos-Herrera, María del Carmen - Asociación Española de Economía y Finanzas … - 2011
This paper test for causality between the US Dollar-Euro exchange rate and US-EMU bond yield differentials. To that end, we apply Hsiao (1981)’s sequential procedure to daily data covering the 1999-2011 period. Our results suggest the existence of statistically significant Granger causality...
Persistent link: https://www.econbiz.de/10008914772
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Cross listing: price discovery dynamics and exchange rate effects
Scherrer, Cristina M. - School of Economics and Management, University of Aarhus - 2014
The paper investigates the dynamics of price discovery for cross-listed firms and the impact of exchange rate shocks on firm value. A simple price discovery model is proposed in which prices in the home and foreign markets react to shocks on two latent prices, namely, the efficient firm value...
Persistent link: https://www.econbiz.de/10011098648
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Cross-Market Spillovers with 'Volatility Surprise'
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014
This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...
Persistent link: https://www.econbiz.de/10011205314