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Efficiency Risk Premia Error Correction Models And Conditional Heteroscedasticity In Foreign Exchange Markets
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Book Synopsis Efficiency, Risk Premia, Error Correction Models and Conditional Heteroscedasticity in Foreign Exchange Markets by : Nita Thacker
Download or read book Efficiency, Risk Premia, Error Correction Models and Conditional Heteroscedasticity in Foreign Exchange Markets written by Nita Thacker and published by . This book was released on 1990 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Efficiency, Risk Premia, Error Correction Models and Conditional Heterosedasticity in Foreign Exchange Markets by : N. Thacker
Download or read book Efficiency, Risk Premia, Error Correction Models and Conditional Heterosedasticity in Foreign Exchange Markets written by N. Thacker and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency by : Mike Wickens
Download or read book Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency written by Mike Wickens and published by . This book was released on 1989 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time-varying Risk Premia in Forward Foreign Exchange Markets and Conditional Heteroskedasticity by : William Dean Lastrapes
Download or read book Time-varying Risk Premia in Forward Foreign Exchange Markets and Conditional Heteroskedasticity written by William Dean Lastrapes and published by . This book was released on 1986 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intervention and the Foreign Exchange Risk Premium by : Owen F. Humpage
Download or read book Intervention and the Foreign Exchange Risk Premium written by Owen F. Humpage and published by . This book was released on 1990 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Biases in the Measurement of Foreign Exchange Risk Premiums by : Geert Bekaert
Download or read book On Biases in the Measurement of Foreign Exchange Risk Premiums written by Geert Bekaert and published by . This book was released on 1991 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been consistently rejected in recent empirical studies. This paper examines several sources of measurement error and misspecification that might induce biases in such studies. Although previous inferences are shown to be robust to a failure to construct true returns and to omitted variable bias arising from conditional heteroskedasticity in spot rates, we show that the parameters were not stable over the 1975-1989 sample period. Estimation that allows for endogenous regime shifts in the parameters demonstrates that deviations from unbiasedness were more severe in the 1980's.
Book Synopsis Explaining Bias in the Foreign Exchange Market by : Neil Kellard
Download or read book Explaining Bias in the Foreign Exchange Market written by Neil Kellard and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency by : Michael R. Wickens
Download or read book Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency written by Michael R. Wickens and published by . This book was released on 1989 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting and Hedging in the Foreign Exchange Markets by : Christian Ullrich
Download or read book Forecasting and Hedging in the Foreign Exchange Markets written by Christian Ullrich and published by Springer Science & Business Media. This book was released on 2009-05-30 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Historical and recent developments at international ?nancial markets show that it is easy to loose money, while it is dif?cult to predict future developments and op- mize decision-making towards maximizing returns and minimizing risk. One of the reasons of our inability to make reliable predictions and to make optimal decisions is the growing complexity of the global economy. This is especially true for the f- eign exchange market (FX market) which is considered as one of the largest and most liquid ?nancial markets. Its grade of ef?ciencyand its complexityis one of the starting points of this volume. From the high complexity of the FX market, Christian Ullrich deduces the - cessity to use tools from machine learning and arti?cial intelligence, e.g., support vector machines, and to combine such methods with sophisticated ?nancial mod- ing techniques. The suitability of this combination of ideas is demonstrated by an empirical study and by simulation. I am pleased to introduce this book to its - dience, hoping that it will provide the reader with interesting ideas to support the understanding of FX markets and to help to improve risk management in dif?cult times. Moreover, I hope that its publication will stimulate further research to contribute to the solution of the many open questions in this area.
Author :International Monetary Fund. Research Dept. Publisher :International Monetary Fund ISBN 13 :1451956940 Total Pages :220 pages Book Rating :4.4/5 (519 download)
Book Synopsis IMF Staff papers, Volume 39 No. 1 by : International Monetary Fund. Research Dept.
Download or read book IMF Staff papers, Volume 39 No. 1 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 1992-01-01 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper focuses on exchange rate economics. Two main views of exchange rate determination have evolved since the early 1970s: the monetary approach to the exchange rate (in flexible-price, sticky-price, and real interest differential formulations); and the portfolio balance approach. In this paper, the literature on these views is surveyed, followed by a discussion of the empirical evidence and likely future developments in the area of exchange rate determination. The literature on foreign exchange market efficiency, exchange rates and “news,” and international parity conditions is also reviewed.
Book Synopsis Studies in the Financial Markets of the Pacific Basin by : Theodore Bos
Download or read book Studies in the Financial Markets of the Pacific Basin written by Theodore Bos and published by JAI Press(NY). This book was released on 1994 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: This eleventh volume in the series on research in international business and finance deals with studies in the financial markets of the Pacific Basin. Topics covered by the book include emerging Asian equity markets and the money markets of the area.
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2008 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets by : Robert J. Hodrick
Download or read book Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by Robert J. Hodrick and published by CRC Press. This book was released on 2023-08-18 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee
Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Book Synopsis Journal of International Money and Finance by :
Download or read book Journal of International Money and Finance written by and published by . This book was released on 2001 with total page 1112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Doctoral Dissertations on Asia written by and published by . This book was released on 1992 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting, Structural Time Series Models and the Kalman Filter by : Andrew C. Harvey
Download or read book Forecasting, Structural Time Series Models and the Kalman Filter written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 1990 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt: A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.
