This paper studies the cross-currency and temporal variations in the random walk behavior in exchange rates. We characterize currencies with relatively large investment flows as investment intensive and conjecture that the more investment intensive a currency is, the closer its exchange rate...

type="main" <p>We examine the impact of firms’ board ties on bond yield spreads. Prior literature associates board connectedness with improved access to resources due to visibility and reputation arising from greater board capital. Consistent with the board capital hypothesis, we find that better...</p>

This study examines how various aspects of underwriter peer network affect IPOs. We use different network measures to capture underwriter centrality in the global network, cohesion and diversity within network, and prior industry experience of network partners. Our results show that IPOs...

This paper shows that the asymptotic distributions of <i>LM</i>-type linearity tests against Smooth Transition Autoregressive (STAR) models, in the presence of a unit root, are non-standard and using standard χ² critical values may lead to incorrect inference as the tails of the distribution of tests...

The forward premium anomaly refers to the situation where the slope coefficient in a regression of spot returns on the lagged interest rate differential is negative and significantly different to unity. This paper explores some of the asymmetries and non linearities present in the anomaly and...

This article studies daily return and volatility dynamics in the exchange rate of an emerging market economy Turkey over the recent floating period. We use Generalized Autoregressive Conditional Heteroscedastic (GARCH) and Fractionally Integrated GARCH (FIGARCH) models with various error...

Integration, nonlinearity, and persistence dynamics of several quarterly US-Dollar-denominated real exchange rates are investigated by using new unit root tests, simulated p-values for linearity tests, estimation of smooth transition autoregressive (STAR) models, and simulation of...

This paper extends the Fractionally integrated GARCH (FIGARCH) model by incorporating Normal Inverse Gaussian Distribution (NIG). The proposed model is flexible and allows one to model time-variation, long memory, fat tails as well as asymmetry and skewness in the distribution of financial...

This paper introduces the Smooth Transition version of FIGARCH model which is designed to account for both long memory and nonlinear dynamics in the conditional variance. Nonlinearity is introduced via a logistic transition function. The model can capture smooth changes in the volatility across...