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Long memory and structural changes in the forward discount : an empirical investigation

Choi, Kyongwook; Zivot, Eric - 2003

Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...

Persistent link: https://www.econbiz.de/10011512994

How stable are monetary models of the Dollar-Euro exchange rate? : a time-varying coefficient approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009

(the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …

Persistent link: https://www.econbiz.de/10003898577

How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009

(the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …

Persistent link: https://www.econbiz.de/10003877676

Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model

Klaassen, Franc - 1999

We analyze the time-dependence of exchange rate correlations using a new multivariate GARCH model. This model consists of two parts. First, we transform the exchange rate changes into their principal components and specify univariate GARCH models for all components. Second, we use the inverse of...

Persistent link: https://www.econbiz.de/10014192029

Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula

Patton, Andrew J. - 2001

Linear correlation is only an adequate means of describing the dependence between two random variables when they are jointly elliptically distributed. When the joint distribution of two or more variables is not elliptical the linear correlation coefficient becomes just one of many possible ways...

Persistent link: https://www.econbiz.de/10014128296

Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

's dynamic properties may lead to misestimation of the intraday spot volatility. …

Persistent link: https://www.econbiz.de/10011411344

Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

Caporale, Guglielmo Maria - 2016

-memory techniques, being particularly interested in volatility modelling and forecasting. Compared with previous studies using …

Persistent link: https://www.econbiz.de/10013004546

Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

Caporale, Guglielmo Maria - 2010

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

Persistent link: https://www.econbiz.de/10013144331

Can macroeconomists get rich forecasting exchange rates?

Costantini, Mauro; Crespo Cuaresma, Jesús; Hlouskova, … - 2014

We provide a systematic comparison of the out-of-sample forecasts based on multivariate macroeconomic models and forecast combinations for the euro against the US dollar, the British pound, the Swiss franc and the Japanese yen. We use profit maximization measures based on directional accuracy...

Persistent link: https://www.econbiz.de/10010412045

The Asia financial crises and exchange rates : had there been volatility shifts for Asian currencies?

Oga, Takashi; Polasek, Wolfgang - 2010

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the … volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian … crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the four currencies the volatility …

Persistent link: https://www.econbiz.de/10009733810