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Persistent Dependence In Foreign Exchange Rates? A Reexamination, Atreya Chakraborty Jan 2004

Persistent Dependence In Foreign Exchange Rates? A Reexamination, Atreya Chakraborty

Atreya Chakraborty

We test for stochastic long-memory behavior in the returns series of currency rates for eighteen industrial countries using a semiparametric fractional estimation method. A sensitivity analysis is also carried out to analyze the temporal stability of the longmemory parameter. Contrary to the findings of some previous studies alluding to the presence of long memory in major currency rates, our evidence provides wide support to the martingale model (and therefore for foreign exchange market efficiency) for our broader sample of foreign currency rates. Any inference of long-range dependence is fragile, especially for the major currency rates. However, long-memory dynamics are found …


Effect Of Different Thyroid States On Mitochondrial Porin Synthesis And Hexokinase Activity In Developing Rabbit Brain., Philadelphia University Jan 2004

Effect Of Different Thyroid States On Mitochondrial Porin Synthesis And Hexokinase Activity In Developing Rabbit Brain., Philadelphia University

Philadelphia University, Jordan

No abstract provided.


The Key To Risk Management: Management, Adrian E. Tschoegl Jan 2004

The Key To Risk Management: Management, Adrian E. Tschoegl

Adrian E Tschoegl

The Barings, Daiwa Bank and Sumitomo Corp. financial debacles in the mid-1990s suggest that management failures rather than misfortune, errors, or complexity are a major source of the risk of financial debacles. These errors are systematic and are a concommittant of the structure of trading and of human nature. Risk management systems must take these facts into account. Two years after this chapter first appeared in the first edition, John Rusnak, a trader at Allied Irish Bank’s US subsidiary lost US$691m in unauthorized trading.


Risk Sharing And The Market For Corporate Control: A Case For Golden Parachutes, Atreya Chakraborty Dec 2003

Risk Sharing And The Market For Corporate Control: A Case For Golden Parachutes, Atreya Chakraborty

Atreya Chakraborty

The predictability of security returns has received considerable attention in the literature, and yet the predictability of bond returns beyond the US markets has remained far less explored. Here we plan to remedy the shortcoming, and in that effort we analyse the ability of several predetermined information variables in predicting bond returns in the European market. We test if variables, commonly used for that matter in the context of other markets (such as inverse relative wealth, term spread, real bond yield and a January dummy) are also useful predictors of European bond returns. Due to some particularities of the sample …