Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates PDF Download
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Author: Ms.Jenny N. Lye
Publisher: International Monetary Fund
ISBN: 1451844778
Category : Business & Economics
Languages : en
Pages : 40
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Book Description
This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptokurtosis and asymmetry (characteristics seen in high-frequency financial time series data), nests the standard normal and Student t distributions, and is related to the Gram Charlier and mixture distributions. An empirical ARCH model based on this distribution is formulated and estimated using hourly exchange rate returns for four currencies. The generalized Student t is found to better model the empirical conditional and unconditional distributions than other distributional specifications.
Author: Ms.Jenny N. Lye
Publisher: International Monetary Fund
ISBN: 1451844778
Category : Business & Economics
Languages : en
Pages : 40
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Book Description
This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptokurtosis and asymmetry (characteristics seen in high-frequency financial time series data), nests the standard normal and Student t distributions, and is related to the Gram Charlier and mixture distributions. An empirical ARCH model based on this distribution is formulated and estimated using hourly exchange rate returns for four currencies. The generalized Student t is found to better model the empirical conditional and unconditional distributions than other distributional specifications.
Author: Jenny N. Lye
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 9781557758606
Category : Business & Economics
Languages : en
Pages : 124
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Book Description
A selective index of major research papers prepared by IMF staff in 1991-98.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 9781557759801
Category : Business & Economics
Languages : en
Pages : 144
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Book Description
Research activity in the IMF emphasizes the links between the organization's policy and operational concerns. The main objectives of research is IMF staff understanding of policy and operational issues relevant to the institution, and to improve the analytical quality of the work prepared for management and the Executive Board and the advice provided to member countries. The scope of research in the IMF is defined by the purposes and functions of the institution. In order to foster innovation and ensure quality control, the IMF makes much of its research available outside the institution and encourages staff to interact with academia and other research organizations through conferences, seminars, and occasional joint research projects. The visiting scholar’s program has also enhanced the quality of research done in the IMF. This program brings in leading members of the economics profession from around the world to assist in the preparation of papers for the Executive Board and to conduct research on IMF-related issues.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 9781557758620
Category : Business & Economics
Languages : en
Pages : 98
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Book Description
This report, commissioned by the Executive Board, was prepared by a committee of academic economists. The report assesses the appropriateness of current research activities, the quality and added value of the IMF's economic research and its utility in the IMF among its member countries and within the wider economics community. This publication also includes responses to the report by the IMF's staff, Managing Director, and Executive Board.
Author: International Monetary Fund. Research Dept.
Publisher: International Monetary Fund
ISBN: 1451974167
Category : Business & Economics
Languages : en
Pages : 204
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Book Description
This paper analyzes contagion and volatility with imperfect credit markets. The paper interprets contagion effects as an increase in the volatility of shocks impinging on the economy. The implications of this approach are analyzed in a model in which domestic banks borrow at a premium on world capital markets, and domestic producers borrow at a premium from domestic banks. Financial spreads depend on a markup that compensates lenders, in particular, for the expected cost of contract enforcement. Higher volatility increases financial spreads and the producers’ cost of capital.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 1152
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Book Description
Author: International Monetary Fund. Interdepartmental Working Group on Fund Policy Advice
Publisher:
ISBN:
Category :
Languages : en
Pages : 142
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Book Description
Author: International Monetary Fund
Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 112
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Book Description
Author: International Monetary Fund
Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 468
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Book Description
