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Econometric Analysis of Financial Markets

  • Conference proceedings
  • © 1994

Overview

Editors:
  1. Jürgen Kaehler

    1. Centre for European Economic Research, Z. E. W., Mannheim, Germany

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  2. Peter Kugler

    1. Institute of Economics, University of Vienna, Vienna, Austria

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    You can also search for this editor in PubMed   Google Scholar

Part of the book series: Studies in Empirical Economics (STUDEMP)

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Table of contents (13 papers)

  1. Front Matter

    Pages I-VII
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  2. Some Pitfalls in Using Empirical Autocorrelations to Test for Zero Correlation among Common Stock Returns

    • Walter Krämer, Ralf Runde
    Pages 1-9

  3. Temporal Aggregation of Time-Series

    • Feike C. Drost
    Pages 11-21

  4. On Long- and Short-Run Purchasing Power Parity

    • Ronald MacDonald, Ian W. Marsh
    Pages 23-46

  5. Cointegration and the Monetary Model of the Exchange Rate

    • Gerd Hansen
    Pages 47-63

  6. Does Cointegration Matter in the Empirical Analysis of the CAPM?

    • Gerd Ronning
    Pages 65-77

  7. Constructing an Empirical Model for Swiss Franc Exchange Rates and Interest Rate Differentials

    • Hermann Garbers
    Pages 79-88

  8. Frequency Domain Analysis of Euromarket Interest Rates

    • Gebhard Kirchgässner, Jürgen Wolters
    Pages 89-103

  9. Structuring Volatile Swiss Interest Rates: Some Evidence on the Present Value Model and a VAR-VARCH Approach

    • Robert M. Kunst, Wolfgang Polasek
    Pages 105-128

  10. The Expectation Hypothesis and Interest Rate Volatility on the Euromarket: Some Empirical Results

    • Peter Kugler
    Pages 129-137

  11. An Investigation of the Effect of Funding on the Slope of the Yield Curve

    • Don M. Egginton, Stephen G. Hall
    Pages 139-161

  12. Stylized Facts, Realignments and Investment Strategies in the EMS

    • By Kees G. Koedijk, Philip A. Stork, Casper G. de Vries
    Pages 163-184

  13. Risk and Return in January: Some UK Evidence

    • Antonis Demos, Enrique Sentana, Mushtaq Shah
    Pages 185-202

  14. Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options

    • Juergen Kaehler, Volker Marnet
    Pages 203-230
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Keywords

Editors and Affiliations

  • Centre for European Economic Research, Z. E. W., Mannheim, Germany

    Jürgen Kaehler

  • Institute of Economics, University of Vienna, Vienna, Austria

    Peter Kugler

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