Christopher J Neely
Biographic Data
| ID | 8776642 |
|---|---|
| NAME | Christopher J Neely |
| GIVEN NAMES | Christopher J |
| FAMILY NAME | Neely |
| SIGNATURE | NEELY C J |
| AFFILIATIONS | Federal Reserve Bank of St. Louis |
| ORCID | 0000-0003-2852-9419 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2001 |
| LATEST PUBLICATION YEAR | 2020 |
| H-INDEX | 0 |
The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets
This article extends the literature on geographic (heat waves) and intertemporal (meteor showers) foreign exchange volatility transmission to characterize the role of jumps and cross-rate propagation. We employ multivariate heterogenous autoregressive (HAR) models to capture the quasi-long memory properties of volatility and both Shapley–Owen R2’s and portfolio optimization exercises to quantify the contributions of information sets. We conclude …
Econometric Modeling of Exchange Rate Volatility and Jumps
Risk Aversion Versus Intertemporal Substitution
Is the risk-aversion parameter in the intertemporal consumption capital asset pricing model “small” as stated by Hansen and Singleton or is its reciprocal—the intertemporal elasticity of substitution—small, as stated by Hall? We attribute the disparate estimates of this fundamental parameter not to failures of instrument admissibility as do Hall and Hansen and Singleton but rather to failures of instrumentrelevance. That is, the disparate estimat…
No prominent works on this page.
Risk Aversion Versus Intertemporal Substitution
Is the risk-aversion parameter in the intertemporal consumption capital asset pricing model “small” as stated by Hansen and Singleton or is its reciprocal—the intertemporal elasticity of substitution—small, as stated by Hall? We attribute the disparate estimates of this fundamental parameter not to failures of instrument admissibility as do Hall and Hansen and Singleton but rather to failures of instrumentrelevance. That is, the disparate estimat…
Econometric Modeling of Exchange Rate Volatility and Jumps
The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets
This article extends the literature on geographic (heat waves) and intertemporal (meteor showers) foreign exchange volatility transmission to characterize the role of jumps and cross-rate propagation. We employ multivariate heterogenous autoregressive (HAR) models to capture the quasi-long memory properties of volatility and both Shapley–Owen R2’s and portfolio optimization exercises to quantify the contributions of information sets. We conclude …
Econometrics (3 works) · Economics (3 works) · Financial economics (2 works) · Financial Markets and Investment Strategies (2 works) · Financial Risk and Volatility Modeling (2 works) · Market Dynamics and Volatility (2 works) · Monetary economics (2 works) · Monetary Policy and Economic Impact (2 works) · Autoregressive model (1 work) · Capital asset pricing model (1 work)