Similar Search Results

Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data

Fatum, Rasmus; King, Michael R. - 2005

volatility. Interestingly, there is no indication that discretionary intervention is more effective than rules-based intervention. …

Persistent link: https://www.econbiz.de/10010320909

Real-Time Effects of Central Bank Interventions in the Euro Market

Fatum, Rasmus; Pedersen, Jesper - 2007

is carried out during a period of high exchange rate volatility. We also show that the exchange rate does not adjust …

Persistent link: https://www.econbiz.de/10010320961

Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan

Fatum, Rasmus; Hutchison, Michael; Wu, Thomas - 2009

We investigate the effects of both U.S. and Japanese news surprises, measured as the difference between macroeconomic announcements and preceding survey expectations, on the intraday JPY/USD exchange rate. No previous study has considered the intraday JPY/USD exchange rate responses to a broad...

Persistent link: https://www.econbiz.de/10010320991

Real-time effects of central bank interventions in the Euro market

Fatum, Rasmus; Pedersen, Jesper - 2007

is carried out during a period of high exchange rate volatility. We also show that the exchange rate does not adjust …

Persistent link: https://www.econbiz.de/10010321198

Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan

Fatum, Rasmus; Hutchison, Michael; Wu, Thomas - Economic Policy Research Unit (EPRU), Økonomisk Institut - 2008

Persistent link: https://www.econbiz.de/10005749956

Rules versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data

Fatum, Rasmus; King, Michael R. - Economic Policy Research Unit (EPRU), Økonomisk Institut - 2005

volatility. Interestingly, there is no indication that discretionary intervention is more effective than rules-based intervention. …

Persistent link: https://www.econbiz.de/10005749963

Real-Time Effects of Central Bank Interventions in the Euro Market

Fatum, Rasmus; Pedersen, Jesper - Economic Policy Research Unit (EPRU), Økonomisk Institut - 2007

is carried out during a period of high exchange rate volatility. We also show that the exchange rate does not adjust …

Persistent link: https://www.econbiz.de/10005225528

Forecasting volatility : evidence from the Saudi stock market

Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18

for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model … outperforms the other models in model estimation and daily out-of-sample volatility forecasting of the two indices. This study is …

Persistent link: https://www.econbiz.de/10011960525

Long-range dependence in returns and volatility of Central European Stock indices

Kristoufek, Ladislav - 2010

In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between … volatility of all three indices. The results for returns are contradictory with several studies which claim that developing …

Persistent link: https://www.econbiz.de/10003958694

Longitudinal Volatility Analysis of OMX Tallinn Index in the case of the emerging stock market of Estonia using PARCH Model

Meher, Bharat Kumar; Birau, Ramona; Anand, Abhishek; … - 2023

The purpose of the empirical research study is to analyze the volatility of OMX Tallinn Index in Estonia from 2002 to … Model for each phases of OMX Tallinn Index in Estonia from 2002 to 2022 that could grasp not only the volatility but also … asymmetric volatility caused by various important events for each particular period. The total sample size is 6,032 i.e. 3 phases …

Persistent link: https://www.econbiz.de/10014353991