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The distorting arm's length principle
Keuschnigg, Christian; Devereux, Michael P. - 2009
Persistent link: https://www.econbiz.de/10003906399
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Robust value at risk prediction
Mancini, Loriano (contributor); Trojani, Fabio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674273
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Dollar dominance in FX trading
Somogyi, Fabricius - 2022 - This version: 1 February 2022
Over 85% of all foreign exchange (FX) transactions involve the US dollar. I show that the US dollar dominates FX trading volume because of strategic avoidance of price impact. To demonstrate this, I leverage the fact that non-dollar currency pairs can be traded indirectly by using the US dollar...
Persistent link: https://www.econbiz.de/10012815985
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Sentiment risk premia in the cross-section of global equity and currency returns
Füss, Roland; Guidolin, Massimo; Koeppel, Christian - 2019 - This version: August 28, 2019
Persistent link: https://www.econbiz.de/10012101492
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Heterogeneous information content of global FX trading
Ranaldo, Angelo; Somogyi, Fabricius - 2018 - This Version: December 12, 2018
This work studies the information content of trades in the world's largest over-the-counter(OTC) market, the foreign … across agents, time and currency pairs, consistent withthe asymmetric information theory and OTC market fragmentation. A …
Persistent link: https://www.econbiz.de/10011906507
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Frontier efficiency methodologies to measure performance in the insurance industry : overview and new empirical evidence
Eling, Martin; Luhnen, Michael - 2008
Persistent link: https://www.econbiz.de/10003905941
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The time-varying systematic risk of carry trade strategies
Söderlind, Paul; Christiansen, Charlotte; Ranaldo, Angelo - 2009
Persistent link: https://www.econbiz.de/10003906380
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Has hedge fund alpha disappeared?
Ammann, Manuel; Huber, Otto; Schmid, Markus M. - 2009
Persistent link: https://www.econbiz.de/10003907747
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Correlation risk and optimal portfolio choice
Buraschi, Andrea (contributor); Porchia, Paolo (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674267
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Hedge fund characteristics and performance persistence
Ammann, Manuel; Huber, Otto; Schmid, Markus M. - 2010
In this paper, we investigate the performance persistence of hedge funds over time horizons between 6 and 36 months based on a merged sample from the Lipper/TASS and CISDM databases for the time period from 1994 to 2008. Unlike previous literature, we use a panel probit regression approach to...
Persistent link: https://www.econbiz.de/10009306604