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This paper analyses the nature and extent of interdependence, and return and volatility spillovers, in three euro exchange rates, namely the US dollar, Japanese yen and British pound sterling. Using the realised variance method in order to avoid pitfalls inherent in the GARCH methodology, we...
Persistent link: https://www.econbiz.de/10008507348
Reappraises the stylised facts of the contemporary UK business cycle and the robustness of associated sample moments to detrending under the Hodrick-Prescott (HP) filter and an unobserved components (UC) model based on the structural time series mode of Harvey and advocated in this context by...
Persistent link: https://www.econbiz.de/10005003267
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Purpose – In this paper weekly volatility forecasts are considered with applications to risk management; in particular hedge ratios and VaR calculations, with the aim of identifying the most appropriate model for risk management practice. Design/methodology/approach – The study considers a...
Persistent link: https://www.econbiz.de/10004966330
Reappraises the stylised facts of the contemporary UK business cycle and the robustness of associated sample moments to detrending under the Hodrick‐Prescott (HP) filter and an unobserved components (UC) model based on the structural time series mode of Harvey and advocated in this context by...
Persistent link: https://www.econbiz.de/10014863540
Purpose – In this paper weekly volatility forecasts are considered with applications to risk management; in particular hedge ratios and VaR calculations, with the aim of identifying the most appropriate model for risk management practice. Design/methodology/approach – The study considers a...
Persistent link: https://www.econbiz.de/10014901429
Persistent link: https://www.econbiz.de/10008417540
Persistent link: https://www.econbiz.de/10007687466