A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost...

The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using...

The present paper analyses interactions between the foreign exchange, money and stock markets in Asian Pacific countries from 1999 till 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This...

This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...

While some of the recent surge of oil prices can be attributed to robust global demandat a time of tight production capacities, commentators occasionally also blame theimpact of speculators for part of the price pressure. We propose an empirical oil market model with heterogeneous speculators....

The serial dependency of multivariate nancial data will often be ltered by con-sidering the residuals of univariate GARCH models adapted to every single series.This is the correct ltering strategy if the multivariate process follows a so-calledcopula based multivariate dynamic model (CMD). These...

Though information-theoretic approaches still play only a minor role in nancial marketanalysis, there have been two recent approaches developing independently one in econo-physics and the other in econometrics. Both approaches generalize the notion of eitherARCH or GARCH models.The econometric...

The ARCH model introduced by Engle [1982] and extended to the GARCH model byBollerslev [1986] is able to capture some of the stylized facts of nancial data Rama [2001].The analysis of nancial time series is sensitive to outliers, due to the temporal dependencein the data. According to Carnero et...

The wavelet transform is used to identify a biannual and an annual seasonalityin the Phelix Day Peak and to separate the long-term trend from its short-termmotion. The short-term/long-term model for commodity prices of Schwartz &Smith (2000) is applied but generalised to account for weekly...

We propose a new approach to measuring the effect of unobservable private information orbeliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of awell identified shock on the volatility of the stock returns of large European banks as afunction of the...