Titolo: Econometric Analysis of Financial Markets (Studies in Empirical Economics)
Editore: Physica
Data di pubblicazione: 2012
Lingua: Inglese
ISBN 10: 3642486681
ISBN 13: 9783642486685
Rilegatura: Brossura
Condizione: New

Descrizione articolo

Riassunto

(Kramer/Runde and Drost) and ARFIMA models (Drost).

Contenuti

Some Pitfalls in Using Empirical Autocorrelations to Test for Zero Correlation among Common Stock Returns.- Temporal Aggregation of Time-Series.- On Long- and Short-Run Purchasing Power Parity.- Cointegration and the Monetary Model of the Exchange Rate.- Does Cointegration Matter in the Empirical Analysis of the CAPM?.- Constructing an Empirical Model for Swiss Franc Exchange Rates and Interest Rate Differentials.- Frequency Domain Analysis of Euromarket Interest Rates.- Structuring Volatile Swiss Interest Rates: Some Evidence on the Present Value Model and a VAR-VARCH Approach.- The Expectation Hypothesis and Interest Rate Volatility on the Euromarket: Some Empirical Results.- An Investigation of the Effect of Funding on the Slope of the Yield Curve.- Stylized Facts, Realignments and Investment Strategies in the EMS.- Risk and Return in January: Some UK Evidence.- Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options.

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