The Redesign of the Matching Market for American Physicians
Author | : |
Publisher | : |
Total Pages | : 51 |
Release | : 1999 |
Genre | : Bank deposits |
ISBN | : |
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Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Distribution Of Exchange Rate Volatility PDF full book. Access full book title The Distribution Of Exchange Rate Volatility.
Author | : |
Publisher | : |
Total Pages | : 51 |
Release | : 1999 |
Genre | : Bank deposits |
ISBN | : |
Author | : Torben G. Anderson |
Publisher | : |
Total Pages | : 64 |
Release | : 1999 |
Genre | : Foreign exchange rates |
ISBN | : |
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.
Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 132 |
Release | : 2004-05-19 |
Genre | : Business & Economics |
ISBN | : 1498330282 |
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Author | : Torben G. Anderson |
Publisher | : |
Total Pages | : |
Release | : 2001 |
Genre | : |
ISBN | : |
Author | : Torben G. Andersen |
Publisher | : |
Total Pages | : 49 |
Release | : 2010 |
Genre | : |
ISBN | : |
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.
Author | : Michael L. Bagshaw |
Publisher | : |
Total Pages | : 44 |
Release | : 1986 |
Genre | : Distribution (Probability theory) |
ISBN | : |
Author | : Luc Bauwens |
Publisher | : |
Total Pages | : 31 |
Release | : 2005 |
Genre | : |
ISBN | : |
Author | : Shang-Jin Wei |
Publisher | : |
Total Pages | : 532 |
Release | : 1992 |
Genre | : |
ISBN | : |
Author | : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico |
Publisher | : |
Total Pages | : 0 |
Release | : 2013 |
Genre | : Banks and banking, Central |
ISBN | : 9789291319626 |
Author | : Riccardo Cristadoro |
Publisher | : |
Total Pages | : 68 |
Release | : 2008 |
Genre | : Foreign exchange rates |
ISBN | : |