Narrow search
Showing 1 - 10 of 1,683
Cover Image
Risk-premia, carry-trade dynamics, and speculative efficiency of currency markets
Wagner, Christian - 2008
Persistent link: https://www.econbiz.de/10003746950
Cover Image
Carry trades, order flow and the forward bias puzzle
Breedon, Francis J.; Rime, Dagfinn; Vitale, Paolo - 2015
of the forward bias according to which a negative correlation between interest rate differentials and order flow creates …
Persistent link: https://www.econbiz.de/10011396784
Cover Image
The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
Cover Image
The contribution of frictions to expected returns
Hirakiy, Kazuhiro; Skiadopoulos, George - 2018
We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...
Persistent link: https://www.econbiz.de/10011932555
Cover Image
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Persistent link: https://www.econbiz.de/10001650402
Cover Image
Forecasting foreign exchange volatility : is implied volatility the best we can do?
Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001974118
Cover Image
Can Markov switching models predict excess foreign exchange returns?
Dueker, Michael (contributor);  … - 2003 - [Elektronische Ressource], rev.
Persistent link: https://www.econbiz.de/10001964834
Cover Image
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021
Persistent link: https://www.econbiz.de/10012603081
Cover Image
How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …
Persistent link: https://www.econbiz.de/10010472838
Cover Image
Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012310604