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ECONIS (ZBW)
143
RePEc
7
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3
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Spot and forward
volatility
in foreign exchange
Della Corte, Pasquale
;
Sarno, Lucio
;
Tsiakas, Ilias
-
2010
Persistent link: https://www.econbiz.de/10003994498
Saved in:
2
Foreign exchange risk and the predictability of carry trade returns
Cenedese, Gino
;
Sarno, Lucio
;
Tsiakas, Ilias
- In:
Journal of banking & finance
42
(
2014
),
pp. 302-313
Persistent link: https://www.econbiz.de/10010408374
Saved in:
3
Handbook of exchange rates
James, Jessica
(
ed.
);
Marsh, Ian W.
(
ed.
);
Sarno, Lucio
(
ed.
)
-
2012
discusses products and pricing in FX, the FX options market, and
volatility
derivatives. Finally, the book concludes with a …
Persistent link: https://www.econbiz.de/10009582267
Saved in:
4
Foreign Exchange Volume
Cespa, Giovanni
-
2020
component of FX volume unrelated to
volatility
, illiquidity, and order flow. We rationalize these findings via a simple model of …
Persistent link: https://www.econbiz.de/10012853916
Saved in:
5
Spot and forward
volatility
in foreign exchange
Della Corte, Pasquale
;
Sarno, Lucio
;
Tsiakas, Ilias
- In:
Journal of financial economics
100
(
2011
)
3
,
pp. 496-513
Persistent link: https://www.econbiz.de/10009242107
Saved in:
6
Foreign exchange volume
Cespa, Giovanni
;
Gargano, Antonio
;
Riddiough, Steven
; …
-
2021
Persistent link: https://www.econbiz.de/10012511703
Saved in:
7
Foreign exchange volume
Cespa, Giovanni
;
Gargano, Antonio
;
Riddiough, Steven J.
; …
-
2021
Persistent link: https://www.econbiz.de/10013187818
Saved in:
8
New developments in exchange rate economics
Sarno, Lucio
(
contributor
);
Taylor, Mark P.
(
contributor
)
-
2002
Persistent link: https://www.econbiz.de/10001645260
Saved in:
9
Common Factors, Order Flows, and Exchange Rate Dynamics
Fourel, Valère
-
2015
We built the largest dataset of high-frequency exchange rates so far. Our sample covers the spot prices and order flows of 19 currency pairs over the last 15 years measured on Reuters and EBS at the thirty-second frequency. We show that common, price-based factors describe exchange rate dynamics...
Persistent link: https://www.econbiz.de/10013018659
Saved in:
10
Foreign Exchange Risk and the Predictability of Carry Trade Returns
Cenedese, Gino
-
2014
losses, which is consistent with the unwinding of the carry trade in times of high
volatility
. The decomposition of market …
Persistent link: https://www.econbiz.de/10013066169
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