Download or read book Common Stochastic Trends in a System of Spot Exchange Rate written by Simo Launonen and published by . This book was released on 1997 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Common Stochastic Trends in a System of Shadow Exchange Rates written by Jesper Rangvid and published by . This book was released on 1998 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Common Stochastic Trends and Volatility Spillovers in East European Black market Exchange Rates written by A. E. H. Speight and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Common Stochastic Trends in International Stock Markets written by Dimitris A. Georgoutsos and published by . This book was released on 2000 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study we explore the implications for the identification of common stochastic trends among stock price indices of using data transformed in a quot;real dollarquot; basis. By applying a quot;generalquot; VAR model where all the relevant variables (stock indices, consumer priced indices and the exchange rate) appear, we show that the expected results from the cointegration analysis differ substantially. In particular, the use of the quot;transformedquot; data pre-supposes that the Purchasing Power Parity condition has been imposed. If this is not the case then the adoption of the quot;transformedquot; data leads to an entirely different economic identification of the model where demand shocks play a crucial role and the coefficients of the cointegrating vectors should satisfy different restrictions. Other contributions of this paper is that it studies the problem under the light of recent developments in cointegration theory which allows us to implement our tests in the presence of 1(2) variables. Furthermore we fill a gap in previous studies by testing for the temporal stability of the cointegration results. Our results, on data for the USA and the UK, validate our approach since they make clear that the necessary restrictions for the Purchasing Power Parity to hold are not satisfied and moreover the results are sample dependent.

Download or read book The Changing Environment of International Financial Markets written by Dilip K. Ghosh and published by Springer. This book was released on 2016-01-01 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection examines the emerging issues arising from increasingly globalized financial markets. Topics covered include: the exchange of rate market, equilibrium and efficiency, inflation and interest rates, capital movements, the balance of payments and international reserves, foreign debt, country risk analysis, currency market arbitrage and speculative designs under market imperfection, international tax issues and trade liberalization and offshore banking.

Download or read book New Directions in Finance written by Dilip K. Ghosh and published by Routledge. This book was released on 2018-10-24 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: The stock market crash of 1987 had a tumultuous effect on the world of finance. The reverberations of this collapse are still being felt and a number of issues and problems are still unresolved. New Directions in Finance discusses these issues and looks to future developments in international finance. The book contains sections which look at capital structure; the cost of capital and agency issues; mergers and takeovers, and options, futures and forward trading. Including a contribution by Nobel Laureate Merton Miller, New Directions in Finance presents a state of the art guide to international finance.

Download or read book Currency Market Efficiency and Common Stochastic Trends written by Kul B. Luintel and published by . This book was released on 1995 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Studies in Foreign Exchange Economics written by Martin D D Evans and published by World Scientific Publishing Company. This book was released on 2017-06-28 with total page 791 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects my scholarly research on the behavior of foreign exchange rates conducted over the past twenty-five years. The collection includes papers that study the behavior of exchange rates from the traditional macroeconomic and newer microstructure perspectives. The former perspective considers the linkages between the macro economy and currency prices in an effort to understand the behavior of exchange rates over quarters, years and decades. By contrast, the microstructure perspective considers how the details of currency trading affect how macroeconomic information becomes embedded in currency prices, a process which drives exchange-rates over intraday horizons. The book also contains papers with a hybrid perspective that consider the details of currency trading and macroeconomic linkages in an effort to understand exchange-rate dynamics across all horizons.

Download or read book Stochastic Trends and Cointegration in the Market for Equities written by Marie D. Racine and published by . This book was released on 1998 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Dynamics Under Stochastic Regime Shifts written by Kenneth Froot and published by . This book was released on 1991 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Stochastic Behavior of Spot and Forward Exchange Rates written by Jang-Bong Choi and published by . This book was released on 1984 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates written by Richard H. Clarida and published by . This book was released on 1993 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Trends and Economic Fluctuations in a Large Open Economy written by Stephen B. DeLoach and published by . This book was released on 1993 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advances in Finance and Stochastics written by Klaus Sandmann and published by Springer Science & Business Media. This book was released on 2013-04-18 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.

Download or read book Journal of International Money and Finance written by and published by . This book was released on 1991 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt: Earlier place of publication varies.

Download or read book Risk Management in Emerging Markets written by Sabri Boubaker and published by Emerald Group Publishing. This book was released on 2016-10-04 with total page 746 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses three main dimensions of risk management in emerging markets: 1) the effectiveness of risk management practices; 2) current issues and challenges in risk assessment and modelling in emerging market countries; 3) the responses of emerging markets to the recent financial crises and the design of risk management models.

Download or read book Modeling Financial Time Series with S PLUS written by Eric Zivot and published by Springer Science & Business Media. This book was released on 2007-10-10 with total page 998 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. It is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This edition covers S+FinMetrics 2.0 and includes new chapters.