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Full-Text Articles in Finance and Financial Management
Searching For Periods Of Volatility: A Study Of The Behavior Of Volatility In Thai Stocks, Theodore Bos, David K. Ding, Thomas A. Fetherston
Searching For Periods Of Volatility: A Study Of The Behavior Of Volatility In Thai Stocks, Theodore Bos, David K. Ding, Thomas A. Fetherston
Research Collection Lee Kong Chian School Of Business
This paper improves the precision of the useful new procedure of Inclán and Tiao (1994) that estimates variance shift points in a time series. It accomplishes this by incorporating the evidence of Bos and Fetherston (1992) that the linear Brown, Durbin, and Evans (Brown et al., 1975) critical CUSUM of squares boundaries [used by Inclán and Tiao] produce an understatement of instability at the data end points. This is solved by Tanizaki (1995) which, like Bos and Fetherston (1992) and Bos and Fetherston (1995), uses the fact that the CUSUM of squares statistic follows a beta distribution. This study uses …
How Much Is Purchasing Power Parity Worth?, Stefan C. Norrbin, C. Mitchell Conover
How Much Is Purchasing Power Parity Worth?, Stefan C. Norrbin, C. Mitchell Conover
Finance Faculty Publications
Updating Bilson 's (1984) investment strategy using an out-of-sample forecast procedure, we find much smaller profits from a trading strategy based on purchasing power parity. Though the total profit is significant at a 5 percent level, it is substantially lower than what Bilson found. Our results suggest Bilson's excess profits are due to the sample of data used and the in-sample nature of the tests. Hence, this paper demonstrates that the simple investment strategy leads to the same conclusion that econometric testing does; namely, that purchasing power parity is only marginally useful in forecasting exchange rates.