The instability of international financial markets, as exhibited by persistent periodic crises, is an important issue for all market participants. This paper presents an alternative agent-based network theory of financial crises derived from recent developments in complexity science, and applies it to short-term currency crises. The theory, despite being parsimonious, is capable of generating c...

This paper shows that high-frequency, irregularly-spaced, FX data can generate non-normality, conditional heteroskedasticity, and leptokurtosis when aggregated into fixed-interval, calendar time even when these features are absent in the original D.G.P. Furthermore, we introduce a new approach to modeling these high-frequency irregularly spaced data based on the Poisson regression model. The ne...

This paper investigates the presence and characteristics of arbitrage opportunities in the foreign exchange market using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick frequency, obtained from Reuters on special order. We provide evidence on the frequency, size and duration of round-trip and one-way arbitrage opportu...

This study re-examines the validity of Purchasing Power Parity (PPP) by focusing on the real effective exchange rates (REERs) for the post-Bretton Woods period, using newly developed unit root tests that account for both nonlinearity and smooth temporary multiple breaks in the data. The tests are applied to the REERs of 23 developed countries and are able to reject the null hypothesis of a unit...

We describe an immunoassay for human pregnancyspecific f31-glycoprotein by use of fluorescein-labeled antibodies to this protein. The technique is generally similar to that of a “two-site” immunoradiometric assay but has the advantage of stability of tracer and avoidance of radiation hazard. However, the procedure requires relatively large quantities of antibody. Furthermore, the within-assay c...

This paperÕs estimates and tests of Fed intervention pro®ts are the ®rst that explicitly adjust for foreign-exchange risk premia; failure to adjust may grossly a€ect estimated pro®ts. Pro®ts appear economically and statistically signi®cant, whether risk premia are modeled as time-constant or as appreciationÕs market beta depending on Fed intervention. The estimates are sensitive to the method o...

After the collapse of fixed exchange rate system Bretton Woods, fluctuations and its impact on macroeconomic performance trade in countries around world are becoming an increasing debate among researchers policymakers. This study empirically investigates whether real may affect exports Indian context. The has employed autoregressive distributed lag (ARDL) bound test procedure to analyse long-ru...