Econometric Analysis of Financial Markets

Inhaltsverzeichnis

• 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.