Similar Search Results

Price overreactions in the FOREX and trading strategies

Caporale, Guglielmo Maria; Plastun, Alex - 2019

Persistent link: https://www.econbiz.de/10011996356

Price Overreactions in the Forex and Trading Strategies

Caporale, Guglielmo Maria - 2019

This paper explores price overreactions in the FOREX by using both daily and intraday data on the EURUSD, USDJPY, USDCAD, AUDUSD and EURJPY exchange rates over the period 01.01.2008-31.12.2018. It applies a dynamic trigger approach to detect overreactions and then various statistical methods,...

Persistent link: https://www.econbiz.de/10012889664

The frequency of one-day abnormal returns and price fluctuations in the FOREX

Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 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/10012196296

The frequency of one-day abnormal returns and price fluctuations in the FOREX

Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - In: Journal of applied economics 24 (2021) 1, pp. 401-415

This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX over the period 1994-2019. The following hypotheses are tested: frequency of abnormal returns is asignificant driver of price movements (H1); it does not exhibit seasonal patterns (H2); it is stable over...

Persistent link: https://www.econbiz.de/10013174306

Persistence in the market risk premium : evidence across countries

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany … weekly). The empirical findings in most cases imply that the market risk premium is a highly persistent variable which can be …

Persistent link: https://www.econbiz.de/10012199998

Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS

Caporale, Guglielmo Maria; Kalyvitēs, Sarantēs; … - 1995

Persistent link: https://www.econbiz.de/10000910190

Interest rate convergence, capital controls, risk premia and foreign exchange market efficiency in the EMS

Caporale, Guglielmo Maria - In: Journal of macroeconomics 18 (1996) 4, pp. 693-714

Persistent link: https://www.econbiz.de/10001209254

Liquidity risk, credit risk and the overknight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - In: The Manchester School 81 (2013) 6, pp. 925-940

Persistent link: https://www.econbiz.de/10010341577

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

Persistent link: https://www.econbiz.de/10003979875

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …

Persistent link: https://www.econbiz.de/10003983199