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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex

Caporale, Guglielmo Maria - 2020

This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...

Persistent link: https://www.econbiz.de/10012839021

Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy

Lian, Yu-Min; Chen, Jun-Home; Liao, Szu-Lang - In: Finance research letters 16 (2016), pp. 208-219

Persistent link: https://www.econbiz.de/10011656179

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147

Persistent link: https://www.econbiz.de/10012006763

Macro news and exchange rates in the BRICS

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - In: Finance research letters 21 (2017), pp. 140-143

Persistent link: https://www.econbiz.de/10011807527

Volatility persistence in the Russian stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 32 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012430826

Foreign exchange option pricing under regime switching with asymmetrical jumps

Lian, Yu-Min; Chen, Jun-Home - In: Finance research letters 46 (2022) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10013341395

Valuation of chooser options with state-dependent risks

Lian, Yu-Min; Chen, Jun-Home - In: Finance research letters 52 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014471998