GARCH-jump models of metal price returns, while allowing for sudden movements (jumps), apply the same specification of the jump component in both ‘bear' and ‘bull' markets. As a result, the more frequent but relatively small jumps that occur in both bear and bull markets dominate the...

This study examines whether information from derivative markets is useful for signaling “hot money” and other large capital flows in an economy where the monetary authority pursues a policy of exchange rate stability. Specifically, this study examines the information content of various Hong...