Most research on hedging has disregarded both the long-run cointegrating relationship
between financial assets and the dynamic nature of the distributions of the assets. This study …

This textbook deals with the statistical modeling and analysis of extremes. The restriction of
the statistical analysis to this special field is justified by the fact that the extreme part of the …

Consistent with previous research, we fail to find a significant correlation between the
abnormal returns of our sample firms with international activities and changes in the dollar …

Numerous articles have investigated the distribution of share prices, and find that the returns
are fat tailed. Nevertheless, there is still controversy about the amount of probability mass in …

This paper presents stylized facts concerning the spot intra-daily foreign exchange markets.
It first describes intra-daily data and proposes a set of definitions for the variables of interest …

This book describes and evaluates the literature on exchange rate economics. It provides a
wide-ranging survey, with background on the history of international monetary regimes and …

In this paper, we develop a stochastic dynamic programming formulation for the valuation of
global manufacturing strategy options with switching costs. Overall, we adopt a hierarchical …

In this paper we investigate the out‐of‐sample forecasting ability of feedforward and
recurrent neural networks based on empirical foreign exchange rate data. A two‐step …

The fifth edition of Maurice D. Levi's classic textbook has been updated to incorporate the
massive changes in the world of international finance of the past few years. In particular, the …

I would like to thank Kathryn Dominguez, Ellen Dykes, Jeffrey Frankel, William Helkie, Dale
Henderson, David Howard, Karen Johnson, Graciela Kaminsky, Michael Leahy, Theodore …