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Portfolio Performance of the SDR and Reserve Currencies

Portfolio Performance of the SDR and Reserve Currencies »

Source: Portfolio Performance of the SDR and Reserve Currencies : Tests Using the ArCH Methodology

Volume/Issue: 1993/10

Series: IMF Working Papers

Author(s): Tugrul Temel , and Michael Papaioannou

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 1993

ISBN: 9781451842630

Keywords: statistic, kurtosis, statistics, equation, covariance

In managing their foreign exchange exposure, international investors, including central banks, often compare actual portfolios with hypothetical portfolios that have been calculated using certain assumptions regard...

On the Statistical Properties of Floating Exchange Rates

On the Statistical Properties of Floating Exchange Rates »

Source: On the Statistical Properties of Floating Exchange Rates : A Reassessment of Recent Experience and Literature

Volume/Issue: 1988/11

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1988

ISBN: 9781451925814

Keywords: exchange rate, exchange rates, exchange rate changes, foreign exchange, kurtosis

The paper reviews the statistical behavior of major currency exchange rates during 1975-86. A close inspection indicates small deviations of recent exchange rate behavior from random walks and some systematic movem...

Persistence in the Variability of Daily Exchange Rates

Persistence in the Variability of Daily Exchange Rates »

Source: Persistence in the Variability of Daily Exchange Rates

Volume/Issue: 1991/104

Series: IMF Working Papers

Author(s): George Tsibouris

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1991

ISBN: 9781451852738

Keywords: exchange rate, exchange rates, foreign exchange, statistics, kurtosis

Rational speculation in foreign exchange trading is often assumed to dampen exchange rate fluctuations by bringing the market back to fundamentals. Nevertheless, information congestion provides incentives for trade...

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices »

Source: A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

Volume/Issue: 2010/181

Series: IMF Working Papers

Author(s): Kevin Cheng

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

ISBN: 9781455202157

Keywords: Implied risk-neutral density functions, market expectations, probability, kurtosis, equation, probability density, standard deviation, Estimation,

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset...

Liberalized Markets Have More Stable Exchange Rates

Liberalized Markets Have More Stable Exchange Rates »

Source: Liberalized Markets Have More Stable Exchange Rates : Short-Run Evidence From Four Transition Countries

Volume/Issue: 2004/35

Series: IMF Working Papers

Author(s): Ales Bulir

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

ISBN: 9781451845389

Keywords: Exchange rate, endogenous liquidity, error-correction mechanism, exchange rates, random walk, kurtosis, International Monetary Arrangements and Institutions,

The paper looks at the hypothesis that financial market liberalization can create a basis for more stable exchange rates, as deviations of exchange rates from equilibrium levels bring forth stabilizing flows of liq...

Reviving the Competitive Storage Model

Reviving the Competitive Storage Model »

Source: Reviving the Competitive Storage Model : A Holistic Approach to Food Commodity Prices

Volume/Issue: 2011/64

Series: IMF Working Papers

Author(s): Norbert Funke , Weifeng Wu , and Yanliang Miao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

ISBN: 9781455228065

Keywords: Food commodity prices, Competitive storage model, Rational expectation equilibrium, real interest rate, price elasticity, kurtosis, skewness, real interest rates, Computational Techniques,

We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating...

Crude Oil Prices

Crude Oil Prices »

Source: Crude Oil Prices : Trends and Forecast

Volume/Issue: 2008/133

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2008

ISBN: 9781451869927

Keywords: Characteristic function, crude oil prices, density forecast, Esscher transform, Fourier transform, inverse problem, normal inverse Gaussian, option prices., oil prices, probability

Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward c...

Recent Dynamics of Crude Oil Prices

Recent Dynamics of Crude Oil Prices »

Source: Recent Dynamics of Crude Oil Prices

Volume/Issue: 2006/299

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865592

Keywords: Characteristic function, cumulants, drift, Fourier inversion, jump-diffusion, kurtosis, skewness, variance-gamma distribution, volatility, oil markets

Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-...

Modeling Stochastic Volatility with Application to Stock Returns

Modeling Stochastic Volatility with Application to Stock Returns »

Source: Modeling Stochastic Volatility with Application to Stock Returns

Volume/Issue: 2003/125

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451854848

Keywords: data augmentation, diagnostics, integration sampler, Kalman filter, Markov chain Monte Carlo, particle filtering, stochastic volatility, time series, sampling, equation

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian paramet...

Portfolio Performance of the SDR and Reserve Currencies
			: Tests Using the ArCH Methodology

Portfolio Performance of the SDR and Reserve Currencies : Tests Using the ArCH Methodology »

Volume/Issue: 1993/10

Series: IMF Working Papers

Author(s): Tugrul Temel , and Michael Papaioannou

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 1993

DOI: http://dx.doi.org/10.5089/9781451842630.001

ISBN: 9781451842630

Keywords: statistic, kurtosis, statistics, equation, covariance

In managing their foreign exchange exposure, international investors, including central banks, often compare actual portfolios with hypothetical portfolios that have been calculated using certain assumptions regard...