23 research outputs found
International macroeconomic announcements and intraday Euro exchange rate volatility
The short-run reaction of Euro returns volatility to a wide range of macroeconomic announcements is investigated using five-minute returns for spot Euro-Dollar, Euro-Sterling and Euro-Yen exchange rates. The marginal impact of each individual macroeconomic announcement on volatility is isolated whilst controlling for the distinct intraday volatility pattern, calendar effects, and a latent, longer run volatility factor simultaneously. Macroeconomic news announcements from the US are found to cause the vast majority of the statistically significant responses in volatility, with US monetary policy and real activity announcements causing the largest reactions of volatility across the three rates. ECB interest rate decisions are also important for all three rates, whilst UK Industrial Production and Japanese GDP cause large responses for the EuroSterling and Euro-Yen rates, respectively. Additionally, forward looking indicators and regional economic surveys, the release timing of which is such that they are the first indicators of macroeconomic performance that traders observe for a particular month, are also found to play a significant rol
Assessing treatment outcomes in multiple sclerosis trials and in the clinical setting
Increasing numbers of drugs are being developed for the treatment of multiple sclerosis (MS). Measurement of relevant outcomes is key for assessing the efficacy of new drugs in clinical trials and for monitoring responses to disease-modifying drugs in individual patients. Most outcomes used in trial and clinical settings reflect either clinical or neuroimaging aspects of MS (such as relapse and accrual of disability or the presence of visible inflammation and brain tissue loss, respectively). However, most measures employed in clinical trials to assess treatment effects are not used in routine practice. In clinical trials, the appropriate choice of outcome measures is crucial because the results determine whether a drug is considered effective and therefore worthy of further development; in the clinic, outcome measures can guide treatment decisions, such as choosing a first-line disease-modifying drug or escalating to second-line treatment. This Review discusses clinical, neuroimaging and composite outcome measures for MS, including patient-reported outcome measures, used in both trials and the clinical setting. Its aim is to help clinicians and researchers navigate through the multiple options encountered when choosing an outcome measure. Barriers and limitations that need to be overcome to translate trial outcome measures into the clinical setting are also discussed
Financial forecasting for business and economics : Eduard J Bomhoff, The Dryden Press, 1994, ISBN 003099005X [UK pound]21.95
Nonlinear dynamics in high-frequency intraday financial data: Evidence for the UK long gilt futures market
Recent research investigating the properties of high-frequency financial data has suggested that the stochastic nonlinearity widely present in such data may be characterized by heterogeneous components in conditional volatility, and nonlinear dependence of threshold autoregressive form due to market frictions. This article tests for the presence of such effects in intraday long gilt futures returns on the UK LIFFE market. Tests against the null of linearity indicate the significance of smooth transition autoregressive nonlinearities in such returns at the 5-min frequency, which entails a first-order autoregressive process with switching intercept. This nonlinear structure is robust to the presence of asymmetric and component structures in conditional variance, and consistent with the existence of heterogeneous traders facing different levels of transaction costs, noise trader risk, or capital constraints
Intraday euro exchange rates and international macroeconomic announcements
This paper considers a 19-month sample of 5-min returns for three euro exchange rates, and provides an analysis of the news impact effects associated with the unexpected component of a wide range of international macroeconomic announcements. Our findings reveal that US news relating to leading indicators causes the most pronounced reactions in euro exchange rate returns. The few statistically significant non-US announcements identified relate primarily to Eurozone labour costs and German business expectations. However, the unexpected elements of interest rate announcements are not significant determinants of euro exchange rate volatility, indicating that it is the announcements of interest rates that cause jumps in exchange rates, quite apart from any actual information surprise delivered by those announcements. The analysis also shows evidence of asymmetric responses of exchange rates to good and bad news, indicating that positive surprises in poor economic climates are strong influences on short-term returns. Furthermore, impact response coefficients and the contribution of news announcement effects on daily price variation are found to vary across the sample and to depend on three factors: the magnitude of news surprises; the underlying economic conditions conveyed by news announcements; business cycle turning points as represented by switches from bad news to good news (and vice versa)
Dynamic news effects in high frequency Euro exchange rates
This paper investigates the dynamic, short-run response of Euro exchange rate returns to the information surprise of global macroeconomic announcements. In addition, it advocates a new approach to modelling intraday exchange rate volatility to allow accurate characterisation of reactions. US macroeconomic news generates far more dramatic responses in EUR–USD returns and returns volatility than news on the macroeconomic performance of other countries. However, some Eurozone and German indicators are also important and UK announcements are important for the EUR–GBP rate. The reaction of exchange rate returns to news is very quick and occurs within the first 5 min of the release with very little reaction in the 15 min before and after. These findings show that exchange rates are strongly linked to fundamentals in the 5-min intervals immediately following the data release. Reactions to news are found to vary in magnitude over the sample, with the largest responses to news occurring in response to turning points in the cumulative flow of news
Real-Time Risk Pricing Over the Business Cycle: Some Evidence for the UK
The fully-revised data typically utilized in empirical research do not reflect the true information available to financial market participants at the time of their decision-making. This paper uses a new real-time macroeconomic dataset to appraise the relative importance of different vintages of data on economic variables as determinants of UK stock returns using the framework of Arbitrage Pricing Theory. We find that two factors influence expected stock returns, namely unanticipated inflation and economic uncertainty, but only when measured in real-time. Moreover, their pricing influence is only present during phases of the business cycle when their associated risks are at their most prevalent. Copyright Blackwell Publishers Ltd, 2006.
Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility
This paper provides an analysis of intraday volatility using 5-min returns for Euro–Dollar, Euro–Sterling and Euro–Yen exchange rates, and therefore a new market setting. This includes a comparison of the performance of the Fourier flexible form (FFF) intraday volatility filter with an alternative cubic spline approach in the modelling of high frequency exchange rate volatility. Analysis of various potential calendar effects and seasonal chronological changes reveals that although such effects cause deviations from the average intraday volatility pattern, these intraday timing effects are in many cases only marginally statistically significant and are insignificant in economic terms. Results for the cubic spline approach imply that significant macroeconomic announcement effects are larger and far more quickly absorbed into exchange rates than is suggested by the FFF model, and underscores the advantage of the cubic spline in permitting the periodicity in intraday volatility to be more closely identified. Further analysis of macroeconomic announcement effects on volatility by country of origin (including the US, Eurozone, UK, Germany, France and Japan) reveals that the predominant reactions occur in response to US macroeconomic news, but that Eurozone, German and UK announcements also cause significant volatility reactions. Furthermore, Eurozone announcements are found to impact significantly upon volatility in the pre-announcement period
Daily volatility forecasts: reassessing the performance of GARCH models
Volatility plays a key role in asset and portfolio management and derivatives pricing. As such, accurate measures and good forecasts of volatility are crucial for the implementation and evaluation of asset and derivative pricing models in addition to trading and hedging strategies. However, whilst GARCH models are able to capture the observed clustering effect in asset price volatility in-sample, they appear to provide relatively poor out-of-sample forecasts. Recent research has suggested that this relative failure of GARCH models arises not from a failure of the model but a failure to specify correctly the 'true volatility' measure against which forecasting performance is measured. It is argued that the standard approach of using ex post daily squared returns as the measure of 'true volatility' includes a large noisy component. An alternative measure for 'true volatility' has therefore been suggested, based upon the cumulative squared returns from intra-day data. This paper implements that technique and reports that, in a dataset of 17 daily exchange rate series, the GARCH model outperforms smoothing and moving average techniques which have been previously identified as providing superior volatility forecasts. Copyright © 2004 John Wiley & Sons, Ltd.