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Global financial crisis and the puzzling exchange rate path in CEE countries

Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010

financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate …-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk … change of the exchange rate. -- Options ; implied volatility ; risk-neutral density ; exchange rate forecasting ; Bayesian …

Persistent link: https://www.econbiz.de/10008689001

Volatility Spillovers between Stock and Currency Markets : Evidence from Emerging Eastern Europe

Fedorova, Elena - 2009

The purpose of this study is in three folds. First we look at the linkage between Eastern European emerging equity markets and Russia, second we investigate the relationship among the currency markets of Poland, Hungry, Russia and Czech Republic. Finally, we examine the interdependence between...

Persistent link: https://www.econbiz.de/10013156807

Non-Synchronous Trading and Testing for Market Integration in Central European Emerging Markets

Zalewska, Anna (Ania) - 2007

The paper contributes to the literature on integration of stock markets by addressing the issue of non-synchronous trading. We argue that controlling for time differences in trading hours of stock markets is important and show that time-adjustment improves estimates of market integration. We...

Persistent link: https://www.econbiz.de/10012732052

Yield curve dynamics : regional common factor model

Šopov, Boril; Seidler, Jakub - 2010

In this paper, we focus on thorough yield curve modelling. We build on extended classical Nelson-Siegel model, which we further develop to accommodate unobserved regional common factors. We centre our discussion on Central European currencies' yield curves: CZK, HUF, PLN and SKK. We propose a...

Persistent link: https://www.econbiz.de/10008655546

Forecast combination and Bayesian model averaging : a prior sensitivity analysis

Feldkircher, Martin - 2010

In this study we evaluate the forecast performance of model averaged forecasts based on the predictive likelihood carrying out a prior sensitivity analysis regarding Zellner’s g prior. The main results are fourfold: First the predictive likelihood does always better than the traditionally...

Persistent link: https://www.econbiz.de/10009731778

Forecasting the Polish Zloty with Non-Linear Models

Rubaszek, Michał - 2016

The literature on exchange rate forecasting is vast. Many researchers have tested whether implications of theoretical economic models or the use of advanced econometric techniques can help explain future movements in exchange rates. The results of the empirical studies for major world currencies...

Persistent link: https://www.econbiz.de/10013008655

The impact of investor sentiment on direction of stock price changes : evidence from the Polish stock market

Polak, Kamil - In: Journal of banking and financial economics 2 (2021) 16, pp. 72-90

The purpose of this research is to examine the impact of sentiment derived from news headlines on the direction of stock price changes. The study examines stocks listed on the WIG-banking sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market data. The...

Persistent link: https://www.econbiz.de/10012887921