The Distribution Of Exchange Rate Volatility
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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.
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.
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.
The Distribution Of Realized Exchange Rate Volatility
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Author : Torben G. Anderson
language : en
Publisher:
Release Date : 2001
The Distribution Of Realized 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 2001 with categories.
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.
Essays On Exchange Rate Volatility And On Regional Integration
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Author : Shang-Jin Wei
language : en
Publisher:
Release Date : 1992
Essays On Exchange Rate Volatility And On Regional Integration written by Shang-Jin Wei and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
Exchange Rate Pass Through Exchange Rate Volatility And Exchange Rate Disconnect
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Author : Michael B. Devereux
language : en
Publisher:
Release Date : 2002
Exchange Rate Pass Through Exchange Rate Volatility And Exchange Rate Disconnect written by Michael B. Devereux and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Economics categories.
This paper explores the hypothesis that high volatility of real and nominal exchange rates may be due to the fact that local currency pricing eliminates the pass-through from changes in exchange rates to consumer prices. Exchange rates may be highly volatile because in a sense they have little effect on macroeconomic variables. The paper shows the ingredients necessary to construct such an explanation for exchange rate volatility. In addition to the presence of local currency pricing, we need a) incomplete international financial markets, b) a structure of international pricing and product distribution such that wealth effects of exchange rate changes are minimized, and c) stochastic deviations from uncovered interest rate parity. Together, it is shown that these elements can produce exchange rate volatility that is much higher than shocks to economic fundamentals, and `disconnected' from the rest of the economy in the sense that the volatility of all other macroeconomic aggregates are of the same order as that of fundamentals.
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.
Real Exchange Rate Volatility And Disconnect
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Author : Riccardo Cristadoro
language : en
Publisher:
Release Date : 2008
Real Exchange Rate Volatility And Disconnect written by Riccardo Cristadoro and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Foreign exchange rates categories.