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~person:"Melvin, Michael"
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exchange rates
7
Devisenmarkt
5
Market microstructure
4
Wechselkurs
4
transaction costs
4
Exchange rate
3
Exchange rates
3
FX microstructure
3
Foreign exchange market
3
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financial crisis
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foreign exchange
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intervention
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Melvin, Michael
Eichengreen, Barry
106
Frankel, Jeffrey A.
97
MacDonald, Ronald
89
Obstfeld, Maurice
77
Belke, Ansgar
67
Devereux, Michael B.
64
Schnabl, Gunther
62
Beckmann, Joscha
55
Bordo, Michael D.
55
Sarno, Lucio
55
Funke, Michael
54
Caporale, Guglielmo Maria
53
Engel, Charles
53
Chinn, Menzie David
50
Edwards, Sebastian
50
Cheung, Yin-Wong
47
Aizenman, Joshua
45
Corsetti, Giancarlo
44
Taylor, Alan M.
42
Velasco, Andrés
42
Hsing, Yu
40
Glick, Reuven
39
Bleaney, Michael F.
38
Fratzscher, Marcel
38
Podkaminer, Leon
37
Rajan, Ramkishen S.
37
Sosvilla-Rivero, Simón
37
Reinhart, Carmen M.
36
Razmi, Arslan
35
Chang, Roberto
34
Ghosh, Atish R.
34
Astrov, Vasily
33
Menkhoff, Lukas
33
Willett, Thomas D.
33
Berg, Andrew
32
Hagen, Jürgen von
32
Rogoff, Kenneth S.
32
Schmukler, Sergio L.
32
Czudaj, Robert
30
Gligorov, Vladimir
30
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RePEc
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3
EconStor
3
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1
Retaining Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns
Melvin, Michael
;
Pan, Wenqiang
;
Wikstrom, Petra
-
2020
The literature on currency investing that incorporates transaction costs uses costs relevant for small trade sizes. Using the entire order book of the major electronic brokerages for FX, we compute sweep-to-fill costs for trades of different sizes and illustrate the reduction in post-cost...
Persistent link: https://www.econbiz.de/10012207908
Saved in:
2
Retaining alpha : the effect of trade size and rebalancing frequency on FX strategy returns
Melvin, Michael
;
Pan, Wenqiang
;
Wikstrom, Petra
-
2020
The literature on currency investing that incorporates transaction costs uses costs relevant for small trade sizes. Using the entire order book of the major electronic brokerages for FX, we compute sweep-to-fill costs for trades of different sizes and illustrate the reduction in post-cost...
Persistent link: https://www.econbiz.de/10012174753
Saved in:
3
Retaining alpha : the effect of trade size and rebalancing frequency on FX strategy returns
Melvin, Michael
;
Pan, Wenqiang
;
Wikstrom, Petra
- In:
Journal of financial markets
51
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013536260
Saved in:
4
Equity hedging and
exchange
rates
at the London 4p.m. fix
Melvin, Michael
;
Prins, John
- In:
Journal of Financial Markets
22
(
2015
)
C
,
pp. 50-72
We test the hypothesis that hedging by international equity portfolio managers affects
exchange
rates
—the “hedging …
Persistent link: https://www.econbiz.de/10011190078
Saved in:
5
Equity hedging and
exchange
rates
at the London 4 pm fix
Melvin, Michael
;
Prins, John
- In:
Journal of financial markets
22
(
2015
),
pp. 50-72
Persistent link: https://www.econbiz.de/10011332867
Saved in:
6
The crisis in the foreign exchange market
Melvin, Michael
;
Taylor, Mark P.
-
2009
implications for
exchange
rates
, volatility, returns to currency investing, and transaction costs. This blow-by-blow" narrative is …
Persistent link: https://www.econbiz.de/10010266026
Saved in:
7
Exchange rate management in emerging markets : intervention via an electronic limit order book
Melvin, Michael
;
Menkhoff, Lukas
;
Schmeling, Maik
-
2009
This paper describes and analyzes the implementation of a crawling exchange rate band on an electronic trading platform. The placement of limit orders at the central bank's target rate serves as a credible policy statement that may coordinate beliefs of market participants. We find for our...
Persistent link: https://www.econbiz.de/10010275802
Saved in:
8
Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book
Melvin, Michael
;
Menkhoff, Lukas
;
Schmeling, Maik
-
CESifo
-
2009
This paper describes and analyzes the implementation of a crawling exchange rate band on an electronic trading platform. The placement of limit orders at the central bank’s target rate serves as a credible policy statement that may coordinate beliefs of market participants. We find for our...
Persistent link: https://www.econbiz.de/10004979392
Saved in:
9
The Crisis in the Foreign Exchange Market
Melvin, Michael
;
Taylor, Mark P.
-
CESifo
-
2009
implications for
exchange
rates
, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is …
Persistent link: https://www.econbiz.de/10005013075
Saved in:
10
Economic fundamentals and a yen currency area for Asian Pacific Rim countries
Melvin, Michael
;
Ormiston, Michael
;
Peiers, Bettina
- In:
Proceedings
(
1992
),
pp. 344-361
Persistent link: https://www.econbiz.de/10005077998
Saved in:
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