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	Provedor de dados AgEcon (2) Autor Chen, Kim Heng (2) Fotopoulos, Stergios B. (1) Han, Li-Ming (1) Jandhyala, Venkata K. (1) Palavra-chave C31 (1) C32 (1) C44 (1) Financial Economics (1) G12 (1) G14 (1) Generalized Geometric Brownian Motion (1) Heteroskedasticity (1) Information and liquidity trading (1) Macroeconomic announcement (1) Nearby and non-nearby currency futures contracts (1) Research Methods/ Statistical Methods (1) Scale Mixture of Normal Distributions (1) Mais... Tipo do documento Journal Article (2) Ano 2006 (1) 2005 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts AgEcon Chen, Kim Heng; Han, Li-Ming. This paper provides a comprehensive analysis of the responses of non-nearby Japanese yen and Deutsche mark futures contracts to macroeconomic announcements and the efficiency of information flow between the nearby and non-nearby contracts. The results show that macroeconomic announcements affect the non-nearby futures returns more through their effects on interest rate differentials than through the underlying spot exchange rates. Information flows efficiently between the Deutsche mark nearby and non-nearby contracts, while information flows primarily from the Japanese yen nearby contracts to the non-nearby counterparts. Tipo: Journal Article Palavras-chave: Nearby and non-nearby currency futures contracts; Macroeconomic announcement; Information and liquidity trading; Financial Economics; C32; G14. Ano: 2006 URL: http://purl.umn.edu/50279 Nonlinear Properties of Multifactor Financial Models AgEcon Chen, Kim Heng; Jandhyala, Venkata K.; Fotopoulos, Stergios B.. This paper provides a comprehensive analysis of the nonlinear properties of multifactor pricing models. Beginning with the generalized geometric Brownian motion, we develop a method whereby the log returns of a set of d-assets or portfolios admit a scale mixture model. This is followed by an analytical study on the conditional behavior of a subset of assets given another subset. Expressions for the first two conditional moments are provided under the scale mixture family. The regression equation when the scaling variable is constant (unity) corresponds with the renowned APT. Computable conditional moment expressions for the scaling variable are derived under both inverse gamma and gamma distributions. These moment equations are nonlinear in parameters,... Tipo: Journal Article Palavras-chave: Generalized Geometric Brownian Motion; Heteroskedasticity; Scale Mixture of Normal Distributions; Research Methods/ Statistical Methods; C31; C44; G12. Ano: 2005 URL: http://purl.umn.edu/49157 Registros recuperados: 2 Primeira ... 1 ... Última

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