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The Asymmetric Volatility of Yen Currency Futures : International Cross Rates
Gregory, Richard Paul - 2010
I test for the presence of asymmetric volatility in Japanese Yen cross-rate futures markets. My investigation is based … 2004 through 2009. I find that appreciation against the Japanese Yen (JPY) leads to significantly greater volatility for … on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from …
Persistent link: https://www.econbiz.de/10013144282
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Aggregate Trading Behaviour of Technical Models and the Yen/Dollar Exchange Rate 1976-2007
Schulmeister, Stephan - 2010
fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite …
Persistent link: https://www.econbiz.de/10013135725
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The forward premium puzzle and latent factors day by day
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10003949496
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013141467
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2011
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013119324
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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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The Relationship between Commodity Price and Currency Exchange Rate : Evidence from the Futures Markets
Chan, Kalok - 2016
We examine relationships among currency and commodity futures markets based on four commodity exporting countries' currency futures returns and a range of index based commodity futures returns. These four commodity linked currencies are the Australian dollar, Canadian dollar, New Zealand dollar,...
Persistent link: https://www.econbiz.de/10012995386
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Predictability of Implied Volatility : Evidence from the Over-the-counter Currency Option Markets
Wong, Alfred H.S. - 2011
This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …
Persistent link: https://www.econbiz.de/10013121151
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Is foreign exchange intervention through derivative instruments effective? : an analysis of the Peruvian case
Abanto Salcedo, Flavio - 2024
rate volatility in the short run. Second, I estimate event study regressions with intraday data, which allowed to confirm …
Persistent link: https://www.econbiz.de/10015053909
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On the Forward Smile
Roos, Thomas - 2020
options for a family of stochastic volatility models with arbitrary local volatility component and time dependent (piecewise …
Persistent link: https://www.econbiz.de/10012848408