The properties and applications of the normal log-normal (NLN) mixture are considered. The moment of the NLN mixture is shown to be finite for any positive order. The expectations of exponential functions of a NLN mixture variable are also investigated. The kurtosis and skewness of the NLN...

We examine the presence or absence of asymmetric volatility in the exchange rates of Australian dollar (AUD), Euro (EUR), British pound (GBP) and Japanese yen (JPY), all against US dollar. Our investigation is based on a variant of the heterogeneous autoregressive realized volatility model,...

We consider three approaches to determine the lag length of a stationary vector autoregression model and the presence of a mean break. The first approach, commonly used in practice, uses a break test as a specification check after the lag length is selected by an information criterion. The...

System tests for cointegration proposed by Stock and Watson (1988), Johansen (1988), and Bewley and Yang (1995) are compared using Monte Carlo experiments that include overspecification of the lag length and data-generating processes with moving average disturbances. Both AIC and SIC are used to...

We consider the problem of forecasting a stationary time series when there is an unknown mean break close to the forecast origin. Based on the intercept-correction methods suggested by Clements and Hendry (1998) and Bewley (2003), a hybrid approach is introduced, where the break and break point...

While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the expected return. We examine the effects of the risk...

We examine the large sample properties of Bayes procedures in a general framework, where data may be dependent and models may be misspecified and nonsmooth. The posterior distribution of parameters is shown to be asymptotically normal, centered at the quasi maximum likelihood estimator, under...

This paper presents two methods to measure market-specific contributions to price discovery in non-overlapping sequential markets: one is a non-parametric approach using high-frequency data and the other is a structural VAR model based on open-to-close returns. The methods complement the...

type="main" xml:id="twec12089-abs-0001" <title type="main">Abstract</title> <p>This study examines how the volatility and liquidity of 10 Asian exchange rates against the US dollar change with volatilities in commodity price and carry trade over the period of January 2000 to June 2010. We find that uncertainties in commodity...</p>