Exchange Rate Volatility And The Mixture Of Distribution Hypothesis PDF Download
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Author | : Luc Bauwens |
Publisher | : |
Total Pages | : 31 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Exchange Rate Volatility and the Mixture of Distribution Hypothesis Book in PDF, ePub and Kindle
Author | : Luc Bauwens |
Publisher | : |
Total Pages | : 31 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Exchange Rate Volatility and the Mixture of Distribution Hypothesis Book in PDF, ePub and Kindle
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.
Author | : James C. Luu |
Publisher | : |
Total Pages | : 31 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Testing the Mixture of Distributions Hypothesis Using "realized" Volatility Book in PDF, ePub and Kindle
Author | : Luc Bauwens |
Publisher | : Springer Science & Business Media |
Total Pages | : 310 |
Release | : 2007-12-31 |
Genre | : Business & Economics |
ISBN | : 3790819921 |
Download High Frequency Financial Econometrics Book in PDF, ePub and Kindle
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.
Author | : Vadhindran K. Rao |
Publisher | : |
Total Pages | : 302 |
Release | : 1996 |
Genre | : |
ISBN | : |
Download Price Change, Trading Volume, Volatility Clustering and the Mixture of Distributions Hypothesis Book in PDF, ePub and Kindle
Author | : Michael L. Bagshaw |
Publisher | : |
Total Pages | : 44 |
Release | : 1986 |
Genre | : Distribution (Probability theory) |
ISBN | : |
Download Intervention, Exchange-rate Volatility, and the Stable Paretian Distribution Book in PDF, ePub and Kindle
Author | : Ronald MacDonald |
Publisher | : Routledge |
Total Pages | : 465 |
Release | : 2007-03-12 |
Genre | : Business & Economics |
ISBN | : 1134801254 |
Download Exchange Rate Economics Book in PDF, ePub and Kindle
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.
Author | : Torben G. Anderson |
Publisher | : |
Total Pages | : 64 |
Release | : 1999 |
Genre | : Foreign exchange rates |
ISBN | : |
Download The Distribution of Exchange Rate Volatility Book in PDF, ePub and Kindle
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 | : Paul de Grauwe |
Publisher | : MIT Press |
Total Pages | : 374 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 9780262042222 |
Download Exchange Rate Economics Book in PDF, ePub and Kindle
Discussions of the different theoretical and empirical paradigms for setting and predicting exchange rates.
Author | : Stephen J. Taylor |
Publisher | : Princeton University Press |
Total Pages | : 544 |
Release | : 2011-02-11 |
Genre | : Business & Economics |
ISBN | : 1400839254 |
Download Asset Price Dynamics, Volatility, and Prediction Book in PDF, ePub and Kindle
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.