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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
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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
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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
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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/10010322282
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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
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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
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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
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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
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Czech Koruna and Polish Zloty : spot and currency option volatility patterns
Morales, R. Armando - 2001
Persistent link: https://www.econbiz.de/10001620692
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Czech Koruna and Polish Zloty currency options : information content and EU-accession implications
Morales, R. Armando - 2000
Persistent link: https://www.econbiz.de/10001503488