Background: Modeling exchange rate volatility has remained crucially important because of its diverse implications. This study aimed to address the issue of error distribution assumption in modeling and forecasting exchange rate volatility between the Bangladeshi taka (BDT) and the US dollar...

General-to-Specific (GETS) modelling has witnessed major advances over the last decade thanks to the automation of multi-path GETS specification search. However, several scholars have argued that the estimation complexity associated with financial models constitutes an obstacle to multi-path...

We employ conformal symmetries to provide a generic tractable framework for interest rate modelling. The approach combines calibration flexibility of market models with tractability and computational efficiency of shot rate models. The methodology enables robust calibration to the whole variety...

For the last decade, short-term rates of major currencies were consistently low and occasionally negative. Meanwhile, longer-term rates remained relatively high and volatile. This phenomenon added extra complexity to the the already formidably difficult task of pricing and hedging interest rate...

We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations. Starting with option-implied currency volatilities, we use variants of existing currency models, global capital flows, international parity, the Taylor rule, and some simplifying...

We study the impact of different central bank communication practices on the trading behavior and profitability of fast and slow traders in the foreign exchange market. We focus, in particular, on how the Bank of Japan's practice of introducing some randomness to the time at which it releases...

Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be...

Background: Modeling exchange rate volatility has remained crucially important because of its diverse implications. This study aimed to address the issue of error distribution assumption in modeling and forecasting exchange rate volatility between the Bangladeshi taka (BDT) and the US dollar...

In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...

The study aims to empirically examine the transmission of volatility from global stock markets to Indian stock market. The study is based on time series data comprising of daily closing stock market indices from National Stock Exchange (NSE), India and major foreign stock exchange of the three...