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Deutsche Mark (deutsche + mark)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	83%

Selected Abstracts

Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 1 2002
Helmut Herwartz
Abstract We analyse daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975,1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). To account for volatility clustering we fit a GARCH(1,1)-model with leptokurtic innovations. Its parameters are not stable over the sample period and two separate variance regimes are selected for both exchange rate series. The identified points of structural change are close to a change of the monetary policies in the US and Japan, the latter of which is followed by a long period of decreasing asset prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the sample period for both exchange rates. A similar result holds for the average level of volatility and for implied volatility of heavily traded at the money options. Copyright © 2002 John Wiley & Sons, Ltd. [source]

An empirical analysis of multi-period hedges: Applications to commercial and investment assets

THE JOURNAL OF FUTURES MARKETS, Issue 6 2005
Jimmy E. Hilliard
This study measures the performance of stacked hedge techniques with applications to investment assets and to commercial commodities. The naive stacked hedge is evaluated along with three other versions of the stacked hedge, including those which use exponential and minimum variance ratios. Three commercial commodities (heating oil, light crude oil, and unleaded gasoline) and three investment assets (British Pounds, Deutsche Marks, and Swiss Francs) are examined. The evidence suggests that stacked hedges perform better with investment assets than with commercial commodities. Specifically, deviations from the cost-of-carry model result in nontrivial hedge errors in the stacked hedge. Exponential and minimum variance hedge ratios were found to marginally improve the hedging performance of the stack. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:587,606, 2005 [source]

Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data

ECONOMIC NOTES, Issue 2 2001
Andrea Beltratti
We introduce a model for the analysis of intra-day volatility based on unobserved components. The stochastic seasonal component is essential to model time-varing intra-day effects. The model is estimated with high frequency data for Deutsche mark,US dollar for 1993 and 1996. The model performs well in terms of coherence with the theoretical aggregation properties of GARCH models, it is effective in terms of both forecasting ability and describing reactions to macroeconomic news. (J.E.L.: C14, C53, F31). [source]

The forward rate unbiasedness hypothesis revisited

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 4 2002
W.A. Razzak
Abstract It is widely accepted that long-term interest rates are more suitable for testing the Uncovered Interest Rate Parity (UIP) than shorter-term rates. This paper shows that while using longer-term (1-year) forward exchange rates are also more suitable than shorter-term rates (1-month) for testing the forward exchange rate unbiasedness hypothesis (FRUH) the test is sensitive to the choice of the numeraire currency, i.e. the US dollar, the Deutsche mark (DM) or the Japanese yen. The FRUH holds in currencies measured in terms of the US dollar when a one-year forward contract is used instead of a one-month contract, but it does not hold when the DM and the yen are used as numeraire currencies. Copyright © 2002 John Wiley & Sons, Ltd. [source]

Looking for contagion in currency futures markets

THE JOURNAL OF FUTURES MARKETS, Issue 10 2003
Chu-Sheng Tai
This article tests whether there are pure contagion effects in both conditional means and volatilities among British pound, Canadian dollar, Deutsche mark, and Swiss franc futures markets during the 1992 ERM crisis. A conditional version of international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) is used to control for economic fundamentals. The empirical results indicate that overall there are no mean spillovers among those futures markets, but they are detected during the crisis period. That is, past return shocks originating in any one of the four markets have no impact on the other three markets during the entire sample period, suggesting that these markets are weak-form efficient. However, this weak-form market efficiency fails to hold during the market turmoil, especially for British pound and Swiss franc, and the sources of contagion-in-mean effects are mainly due to the return shocks originating in three European currency futures markets. As for the contagion-in-volatility, it is detected for British pound only because its conditional volatility is influenced by the negative volatility shocks from Canadian dollar, Deutsche mark, and Swiss franc, with Deutsche mark playing the dominant role in generating these shocks. JEL Classifications: C32; F31; G12. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:957,988, 2003 [source]

Spot-futures spread, time-varying correlation, and hedging with currency futures

THE JOURNAL OF FUTURES MARKETS, Issue 10 2006
Donald Lien
This article investigates the effects of the spot-futures spread on the return and risk structure in currency markets. With the use of a bivariate dynamic conditional correlation GARCH framework, evidence is found of asymmetric effects of positive and negative spreads on the return and the risk structure of spot and futures markets. The implications of the asymmetric effects on futures hedging are examined, and the performance of hedging strategies generated from a model incorporating asymmetric effects is compared with several alternative models. The in-sample comparison results indicate that the asymmetric effect model provides the best hedging strategy for all currency markets examined, except for the Canadian dollar. Out-of-sample comparisons suggest that the asymmetric effect model provides the best strategy for the Australian dollar, the British pound, the deutsche mark, and the Swiss franc markets, and the symmetric effect model provides a better strategy than the asymmetric effect model in the Canadian dollar and the Japanese yen. The worst performance is given by the naïve hedging strategy for both in-sample and out-of-sample comparisons in all currency markets examined. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1019,1038, 2006 [source]