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Volatility Transmission in Emerging European Foreign Exchange Markets

Bubák, Vít; Kocenda, Evžen; Zikes, Filip - CESifo - 2010

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …

Persistent link: https://www.econbiz.de/10008572532

Intraday Anomalies and Market Efficiency: A Trading Robot Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - CESifo - 2014

One of the leading criticisms of the Efficient Market Hypothesis (EMH) is the presence of so-called “anomalies”, i.e. empirical evidence of abnormal behaviour of asset prices which is inconsistent with market efficiency. However, most studies do not take into account transaction costs. Their...

Persistent link: https://www.econbiz.de/10010764290

Short-Term Price Overreactions: Identification, Testing, Exploitation

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - CESifo - 2014

This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an “inertia anomaly”, i.e. after an...

Persistent link: https://www.econbiz.de/10011075719

The Weekend Effect: A Trading Robot and Fractional Integration Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Plastun, Alex - CESifo - 2014

technique for the estimation of the (fractional) integration parameter d. The results suggest that trading strategies aimed at …

Persistent link: https://www.econbiz.de/10010786742

Dynamic Trading and Asset Prices: Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - CESifo - 2009

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...

Persistent link: https://www.econbiz.de/10008583648

Exchange Rate Forecasters' Performance: Evidence of Skill?

MacDonald, Ronald; Menkhoff, Lukas; Rebitzky, Rafael R. - CESifo - 2009

This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters’ performance is skill-based. ‘Superior’ forecasters...

Persistent link: https://www.econbiz.de/10005000372

Bank of England Interest Rate Announcements and the Foreign Exchange Market

Melvin, Michael; Saborowski, Christian; Sager, Michael; … - CESifo - 2009

. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate … macroeconomic news effects on the foreign exchange market. We find evidence for non-linear regime switching between a high-volatility …, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to …

Persistent link: https://www.econbiz.de/10005000390

China and its Dollar Exchange Rate: A Worldwide Stabilizing Influence?

McKinnon, Ronald Ian; Schnabl, Gunther - CESifo - 2011

We argue that criticism concerning the Chinese dollar peg is misplaced as no predictable link exists between the exchange rate and the trade balance of an international creditor economy. The stable nominal yuan/dollar rate is argued to have stabilized Chinese, East Asian and global growth....

Persistent link: https://www.econbiz.de/10009019144

The Euro/Dollar Exchange Rate: Chaotic or Non-Chaotic?

Federici, Daniela; Gandolfo, Giancarlo - CESifo - 2011

The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents’ beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential...

Persistent link: https://www.econbiz.de/10009020093

The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets

Egert, Balazs; Kocenda, Evžen - CESifo - 2013

news and communication along with the estimated exchange rate misalignment on exchange rate as well as its volatility …

Persistent link: https://www.econbiz.de/10010668471