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Aggregate Trading Behavior of Technical Models and the Yen/Dollar Exchange Rate
Schulmeister, Stephan - 2007
fluctuations of the yen/dollar exchange rate. The paper shows first that these models would have exploited exchange rate trends …
Persistent link: https://www.econbiz.de/10011435219
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Profitability of Technical Currency Speculation. The Case of Yen-Dollar Trading 1976-2007
Schulmeister, Stephan - 2008
The paper investigates the profitability of 1,024 moving average and momentum models and their components in the yen …
Persistent link: https://www.econbiz.de/10011435249
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Aggregate Trading Behaviour of Technical Models and the Yen-Dollar Exchange Rate 1976-2007
Schulmeister, Stephan - 2008
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/10011435250
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Purchasing power parity: Granger causality tests for the yen-dollar exchange rate
Schnabl, Gunther; Baur, Dirk - 2001
The paper analyses the causality between the Japanese-US relative export prices and the yen-dollar exchange rate. It … explains why the Japanese yen proved strong even during the economic slump of the 1990s. The paper suggests that the … appreciation of the Japanese yen forced the Japanese enterprises into price reductions and productivity increases, which put a …
Persistent link: https://www.econbiz.de/10010305044
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999
Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...
Persistent link: https://www.econbiz.de/10010324426
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001
We construct models which enable a decision-maker to analyze the implications oftypical timeseries patterns of daily exchange rates for currency risk management. Ourapproach is Bayesianwhere extensive use is made of Markov chain Monte Carlo methods. The effects ofseveral modelcharacteristics...
Persistent link: https://www.econbiz.de/10010324963
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The Euro/Dollar exchange rate: Chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents' beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential...
Persistent link: https://www.econbiz.de/10010274880
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Analysis of the intraday effects of economic releases on the currency market
Rezania, Omid; Rachev, Svetlozar T.; Sun, Edward; … - 2010
Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...
Persistent link: https://www.econbiz.de/10010301730
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How successful is the G7 in managing exchange rates?
Fratzscher, Marcel - 2008
moving the US dollar, yen and euro in the intended direction at horizons of up to three months after G7 meetings, but not at …
Persistent link: https://www.econbiz.de/10011604998
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Profitability and Price Effects of Technical Currency Trading
Schulmeister, Stephan - 2001
Persistent link: https://www.econbiz.de/10011435071