Exchange Rate Volatility And The Mixture Of Distribution Hypothesis
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Exchange Rate Volatility And The Mixture Of Distribution Hypothesis
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Author : Luc Bauwens
language : en
Publisher:
Release Date : 2005
Exchange Rate Volatility And The Mixture Of Distribution Hypothesis written by Luc Bauwens and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Exchange Rate Volatility And The Mixture Of Distribution Hypothesis
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Author : Luc Bauwens
language : en
Publisher:
Release Date : 2010
Exchange Rate Volatility And The Mixture Of Distribution Hypothesis written by Luc Bauwens and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This paper sheds new light on the mixture of distribution hypothesis by means of a study of the exchange rate volatility of the Norwegian krone. First, we find that the impact of changes in the number of information events on exchange rate volatility is statistically significant, and recursive parameter analysis suggests the impact is relatively stable across three different exchange rate regimes. Second, our results do not support the hypothesis that an increase in the number of traders reduces exchange rate volatility. Finally, we report a case in which undesirable residual properties attained within traditional frameworks are easily removed by applying the log-transformation on volatilities.
Testing The Mixture Of Distributions Hypothesis Using Realized Volatility
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Author : James C. Luu
language : en
Publisher:
Release Date : 2002
Testing The Mixture Of Distributions Hypothesis Using Realized Volatility written by James C. Luu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Intervention Exchange Rate Volatility And The Stable Paretian Distribution
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Author : Michael L. Bagshaw
language : en
Publisher:
Release Date : 1986
Intervention Exchange Rate Volatility And The Stable Paretian Distribution written by Michael L. Bagshaw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Distribution (Probability theory) categories.
Price Change Trading Volume Volatility Clustering And The Mixture Of Distributions Hypothesis
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Author : Vadhindran K. Rao
language : en
Publisher:
Release Date : 1996
Price Change Trading Volume Volatility Clustering And The Mixture Of Distributions Hypothesis written by Vadhindran K. Rao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
The Distribution Of Exchange Rate Volatility
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Author : Torben G. Anderson
language : en
Publisher:
Release Date : 1999
The Distribution Of Exchange Rate Volatility written by Torben G. Anderson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Foreign exchange rates categories.
Abstract: Using high-frequency data on Deutschemark and Yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates are also approximately free of measurement error under general conditions, which we delineate. Hence, for all practical purposes, we can treat the exchange rate volatilities and correlations as observed rather than latent. We do so, and we characterize their joint distribution, both unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and volatilities, pronounced and highly.
High Frequency Financial Econometrics
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Author : Luc Bauwens
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-12-31
High Frequency Financial Econometrics written by Luc Bauwens and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-31 with Business & Economics categories.
Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.
Exchange Rate Economics
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Author : Ronald MacDonald
language : en
Publisher: Routledge
Release Date : 2007-03-12
Exchange Rate Economics written by Ronald MacDonald and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03-12 with Business & Economics categories.
First published in 2007. Exchange Rate Economics: Theories and Evidence is the second edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful content and structure of the previous edition, but has been comprehensively updated and expanded to include additional literature on the determination of both fixed and floating exchange rates. Core topics covered include: • the purchasing power parity hypothesis and the PPP puzzle; • the monetary and portfolio-balance approaches to exchange rates; • the new open economy macroeconomics approach to exchange rates; and • the determination of exchange rates in target zone models and speculative attack models. Exchange Rate Economics: Theories and Evidence also includes extensive discussion of recent econometric work on exchange rates with a particular focus on equilibrium exchange rates and measuring exchange rate misalignment, as well as discussion on the non-fundamentals-based approaches to exchange rate behaviour, such as the market microstructure approach. The book will appeal to academics and postgraduate students with an interest in all aspects of international finance and will also be of interest to practitioners concerned with issues relating to equilibrium exchange rates and the forecastability of currencies in terms of macroeconomic fundamentals.
The Redesign Of The Matching Market For American Physicians
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Author :
language : en
Publisher:
Release Date : 1999
The Redesign Of The Matching Market For American Physicians written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Bank deposits categories.
The Distribution Of Exchange Rate Volatility
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Author : Torben G. Andersen
language : en
Publisher:
Release Date : 2010
The Distribution Of Exchange Rate Volatility written by Torben G. Andersen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Using high-frequency data on Deutschemark and Yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates are also approximately free of measurement error under general conditions, which we delineate. Hence, for all practical purposes, we can treat the exchange rate volatilities and correlations as observed rather than latent. We do so, and we characterize their joint distribution, both unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and volatilities, pronounced and highly persistent temporal variation in both volatilities and correlation, clear evidence of long-memory dynamics in both volatilities and correlation remarkably precise scaling laws under temporal aggregation.