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Foreign exchange predictability and the carry trade : a decomposition approach
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - In: Journal of empirical finance 42 (2017), pp. 199-211
Persistent link: https://www.econbiz.de/10011808567
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Price discovery in foreign exchange markets : a comparison of indicative and actual transaction prices
Phylaktis, Kate; Chen, Long - In: Journal of empirical finance 16 (2009) 4, pp. 640-654
In this paper, we compare four months of Reuters EFX high frequency indicative data with D2000-1 inter-dealer transaction data for DEM/USD and GBP/USD. Contrary to previous studies, we find, using various information measures, that the matched tick-by-tick indicative data bear no qualitative...
Persistent link: https://www.econbiz.de/10003900329
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The economic value of volatility timing with realized jumps
Nolte, Ingmar; Xu, Qi - In: Journal of empirical finance 34 (2015), pp. 45-59
Persistent link: https://www.econbiz.de/10011556992
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The time-varying asymmetry of exchange rate returns : a stochastic volatility : stochastic skewness model
Iseringhausen, Martin - In: Journal of empirical finance 58 (2020), pp. 275-292
Persistent link: https://www.econbiz.de/10012430700
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Cross-sectional return dispersion and currency momentum
Eriksen, Jonas Nygaard - In: Journal of empirical finance 53 (2019), pp. 91-108
Persistent link: https://www.econbiz.de/10012171641
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Forecasting realized volatility with wavelet decomposition
Souropanis, Ioannis; Vivian, Andrew - In: Journal of empirical finance 74 (2023), pp. 1-25
Persistent link: https://www.econbiz.de/10014477112
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Alpha momentum and alpha reversal in country and industry equity indexes
Zaremba, Adam; Umutlu, Mehmet; Karathanasopoulos, Andreas - In: Journal of empirical finance 53 (2019), pp. 144-161
Persistent link: https://www.econbiz.de/10012171632
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Equity order flow and exchange rate dynamics
Ferreira Filipe, Sara - In: Journal of empirical finance 19 (2012) 3, pp. 359-381
Persistent link: https://www.econbiz.de/10009615677
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Forecasting exchange rate volatility : the superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán Carmona, Carlos - In: Journal of empirical finance 19 (2012) 5, pp. 627-639
Persistent link: https://www.econbiz.de/10009700616
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Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon
Andersen, Torben; Bollerslev, Tim; Lange, Steve - In: Journal of empirical finance 6 (1999) 5, pp. 457-477
Persistent link: https://www.econbiz.de/10001505784