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evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …
Persistent link: https://www.econbiz.de/10010322440
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …
Persistent link: https://www.econbiz.de/10010270529
This paper examines the mutually reinforcing interactions between exchange rate dynamics and technical trading strategies. I first show that technical trading systems have been quite profitable during the floating rate period. This profitability stems from the successful exploitation of...
Persistent link: https://www.econbiz.de/10011435191
In this analysis the interdependence between foreign exchange markets and stock markets for selected accession and cohesion countries is discussed. This includes basic theoretical approaches. Monthly data for the nominal stock market indices and nominal exchange rates are used, where Ireland,...
Persistent link: https://www.econbiz.de/10010291121
The application of the market microstructure theory to foreign exchange markets in the last few years has introduced a … data, but also at longer time horizons that are relevant for macro-economic analysis. Microstructure theory is thus …
Persistent link: https://www.econbiz.de/10010322409
mean or the volatility - depends on both news announcements and order flow. We conclude that news on the EUR/HUF market are …
Persistent link: https://www.econbiz.de/10010322449
Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993-2000 that were … released only recently by the BoJ and find that the interventions of the BoJ increased the volatility of the yen/U.S. dollar … press, were positively correlated with exchange rate volatility. …
Persistent link: https://www.econbiz.de/10010260629
relationship between currency futures trading activity and spot volatility. Moreover, in the case of four out of the total of five … currencies discussed in this paper, futures trading activity adds significantly to spot volatility. …
Persistent link: https://www.econbiz.de/10010262985
direction. Interventions increase volatility in the short run as they are regarded as information; but they can reduce … volatility overall. Ways of transmission may reach beyond the signaling channel and also include the portfolio balance and a …
Persistent link: https://www.econbiz.de/10010264498
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010291774