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Exchange Rates and Oil Prices : A Multivariate Stochastic Volatility Analysis
Vo, Minh - 2011
volatility (MSV) and the multivariate conditional correlation GARCH (CC-MGARCH) framework to investigate the volatility … major findings. First, the volatility in each market is very persistent. It varies over time in a predictable manner …, conditioned on the past information. Second, the volatility in the oil market Granger-causes the volatility in the FX markets but …
Persistent link: https://www.econbiz.de/10013131145
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Purchasing power parity in transition countries : panel stationary test with smooth and sharp breaks
Bahmani-Oskooee, Mohsen; Chang, Tsangyao; Wu, Tsung-pao - In: International Journal of Financial Studies : open … 3 (2015) 2, pp. 153-161
This study examines whether the long-run purchasing power parity (PPP) holds in transition economies (Bulgaria, the Czech Republic, Hungary, Latvia, Lithuania, Poland, Romania and Russia) using monthly data over the 1995 - 2011 period. We apply a recently introduced panel stationary test, which...
Persistent link: https://www.econbiz.de/10011308453
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PPP in OECD countries : an analysis of real exchange rate stationarity, cross-sectional dependency and structural breaks
Holmes, Mark J.; Otero, Jesús G.; Panagiōtidēs, … - 2011
The stationarity of OECD real exchange rates over the period 1972-2008 is tested using a panel of twenty six member countries. The methodology followed stems from the need to meet several key concerns: (i) the identification of which panel members are stationary; (ii) the presence of...
Persistent link: https://www.econbiz.de/10009388979
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Argentinean real exchange rate 1900 - 2006 : testing purchasing power parity theory
Dal Bianco, Marcos - In: Estudios de economía 35 (2008) 1, pp. 33-64
This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...
Persistent link: https://www.econbiz.de/10003746940
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Internal Relative Price Stationarity in Long Run Purchasing Power Parity
Breuer, Janice Boucher; Lippert, Alston Flynn - 2001
This study demonstrates that the joint relationship amongst domestic traded goods prices, domestic non-traded goods prices, foreign traded goods prices, and foreign non-traded goods prices is important to understanding rejections or confirmations of long run PPP. This joint relationship is...
Persistent link: https://www.econbiz.de/10014074429
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Forecasting exchange rate volatility in the presence of jumps
Busch, Thomas (contributor);  … - 2005
We study measures of foreign exchange rate volatility based on high-frequency (5-minute) $/DM exchange rate returns … using recent nonparametric statistical techniques to compute realized return volatility and its separate continuous sample … implied volatility. We find that implied volatility is an informationally efficient but biased forecast of future realized …
Persistent link: https://www.econbiz.de/10003795291
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10011431367
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Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.; Shephard, Neil G. - 2004
volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …
Persistent link: https://www.econbiz.de/10011334849
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …
Persistent link: https://www.econbiz.de/10011476532
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International Portfolio Choice Under Multi-Factor Stochastic Volatility
Escobar, Marcos - 2016
We develop a model of international portfolio choice in complete and incomplete markets with stochastic covariance between financial asset returns and exchange rates. The optimal investment strategies are derived in closed form. We estimate the model parameters and illustrate the optimal...
Persistent link: https://www.econbiz.de/10013002378