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Inside the Black Box: Why are Order Flows Models of Exchange Rate more competitive than Traditional Models of Exchange Rate?
Di Filippo, Gabriele - Université Paris-Dauphine (Paris IX) - 2011
and a microstructure model. The model puts forward three results. First, simulations replicate stylised facts observed in …. Incoming information is distorted by behavioural noise and microstructure noise. Thirdly, order flows models of exchange rate … varying weight of fundamental information, behavioural information and microstructure information while traditional models …
Persistent link: https://www.econbiz.de/10010707134
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Cross-Market Spillovers with 'Volatility Surprise'
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014
This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...
Persistent link: https://www.econbiz.de/10011205314
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Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)
Gresse, Carole; Gajewski, Jean-François - Université Paris-Dauphine (Paris IX) - 2007
This article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading...
Persistent link: https://www.econbiz.de/10010905293
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Liquidity and the cost of Funds and Integration of the Eurozone Treasury Bills Market
Biais, Bruno; Renucci, Antoine; Saint-Paul, Gilles - Université Paris-Dauphine (Paris IX) - 2007
We analyze empirically the determinants of Eurozone Treasury bills yields. Market microstructure as well as …
Persistent link: https://www.econbiz.de/10010708481
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The Revenge of Purchasing Power Parity on Carry Trades during Crises
Drut, Bastien; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2009
Empirical evidence shows that fundamental models have produced disappointing results over the past 20 years while carry trade strategies have performed superbly. But the real picture is much more complex. In fact, the track records of both strategies have varied considerably. This article shows...
Persistent link: https://www.econbiz.de/10010707828
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Finance internationale
Lautier, Delphine; Simon, Yves; Morel, Christophe - Université Paris-Dauphine (Paris IX) - 2009
L'ouvrage présente une vision globale de la finance internationale. Avec les techniques financières, le marché des changes, la gestion des risques internationaux ou les places financières internationales.
Persistent link: https://www.econbiz.de/10010707979
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Foreign-exchange intervention strategies and market expectations: insights from Japan
Gnabo, Jean-Yves; Teiletche, Jérôme - Université Paris-Dauphine (Paris IX) - 2009
This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: (i) are FX authorities able to influence market expectations with different instruments? (ii) how should interventions be...
Persistent link: https://www.econbiz.de/10010708344
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Finance internationale et gestion des risques : questions et exercices corrigés
Simon, Yves; Roy, Sébastien - Université Paris-Dauphine (Paris IX) - 2013
La finalité de cet ouvrage est pédagogique. Il est destiné à faciliter l’acquisition des connaissances dans le domaine de la finance internationale et celui de la gestion des risques. Cette nouvelle édition, actualisée et rénovée, regroupe tous les thèmes importants de ces deux...
Persistent link: https://www.econbiz.de/10011072929
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Liquidity Problems in the FX Liquid Market
Le Fol, Gaëlle; Idier, Julien; Borgy, Vladimir - Université Paris-Dauphine (Paris IX) - 2010
Even though the FX market is one of the most liquid financial market, it would be an error to consider that it is immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and transactions in three main currency pairs (EURJPY, EURUSD, USDJPY)...
Persistent link: https://www.econbiz.de/10011074000
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The choice of an optimal exchange rate regime for the euro CFA countries zone
Linjouom, Mireille - Université Paris-Dauphine (Paris IX) - 2002
Persistent link: https://www.econbiz.de/10011072469