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Subsampling Hypothesis Tests for Nonstationary Panels with Applications to Exchange Rates and Stock Prices
Choi, In; Chue, Timothy K. - 2005
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated … the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special … shown that subsampling provides asymptotic distributions that are equivalent to the asymptotic distributions of the panel …
Persistent link: https://www.econbiz.de/10014027534
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Evidence for Sign Asymmetry of Exchange Rate Exposure
Jayasinghe, Prabhath - 2014
This paper attempts to find evidence for sign asymmetry of exchange rate exposure. An extended classification of the sources of asymmetry has been introduced in place of somewhat incomplete classification suggested by previous studies. In addition, a new measure is suggested in order to estimate...
Persistent link: https://www.econbiz.de/10013051471
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Time-Varying Exchange Rate Exposure Coefficients (Exposure Betas) : Evidence from Country Level Stock Returns
Jayasinghe, Prabhath - 2014
This paper uses time-varying second moments to investigate exchange rate exposure betas. Using a BEKK-GARCH(1,21)-M model, time-varying exchange rate exposure betas are obtained with explicit focus on the non-orthogonality between exchange rate changes and market returns. We look into certain...
Persistent link: https://www.econbiz.de/10013051472
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Multi-Elements of Exchange Rate Exposure : Evidence from Japanese Sectoral Returns
Jayasinghe, Prabhath - 2014
This paper examines the adequacy of the exposure coefficient/beta in measuring the entire impact of exchange rate changes on firms' future operating cash flows. To this end, we investigate the presence of four elements of exchange rate exposure: (a) sensitivity of stock returns to exchange rate...
Persistent link: https://www.econbiz.de/10013051496
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Time-Varying Exchange Rate Exposure : Evidence from Emerging Markets
Jayasinghe, Prabhath - 2015
This paper examines exchange rate exposure of country level stock returns in three emerging market economies: Korea, Taiwan and Thailand. The analysis is carried out at country level using stock indexes and trade-weighted exchange rates. Time-varying exchange rate exposure coefficients are...
Persistent link: https://www.econbiz.de/10013033258
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Measuring Time-Varying Market and Currency Risks with Stochastic Dominance : Evidence from Country Level Stock Returns
Jayasinghe, Prabhath - 2014
In this paper, time-varying market and currency risks among a selected set of developed and emerging economies are compared in terms of stochastic dominance. For this purpose, time-varying exchange rate exposure and market betas are obtained through a multivariate model that explicitly allows...
Persistent link: https://www.econbiz.de/10013051331
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The U.S. Dollar and Variance Risk Premia Imbalances
Kjær, Mads Markvart; Posselt, Anders Merrild - 2022
This paper provides empirical evidence for the difference in variance risk premium in the U.S. against other economies (VPI) having significant predictive power on monthly U.S. Dollar movements. The predictive power of VPI is rationalized by the variance risk premium's economic interpretation...
Persistent link: https://www.econbiz.de/10013292092
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The U.S. Dollar and Variance Risk Premia Imbalances
Posselt, Anders Merrild; Kjær, Mads Markvart - 2022
We present a novel predictor for the Dollar factor: variance risk premia imbalances (VPI), defined as the difference in variance risk premium in the U.S. and non-U.S. countries. We argue that VPI theoretically proxies the difference in volatility between U.S. and non-U.S. stochastic discount...
Persistent link: https://www.econbiz.de/10014238734
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Les reseaux de neurones artificiels : une application à prévision des prix des actifs financiers
Avouyi-Dovi, Sanvi; Caulet, Renaud - 1995
Persistent link: https://www.econbiz.de/10000923490
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Dance with the dollar : exchange rate exposure on the German stock market
Entorf, Horst; Jamin, Gösta - 2002
Persistent link: https://www.econbiz.de/10001844503