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The opening price behavior : foreign exchange futures market versus equity market
Chu, Quentin C. - In: International review of financial analysis 6 (1997) 1, pp. 21-35
Persistent link: https://www.econbiz.de/10001236075
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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 London over-the-counter currency option market. The present work is motivated by the lack of empirical studies that address implied volatility characteristics across various...
Persistent link: https://www.econbiz.de/10013121151
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Stock market and deviations from covered interest parity
Ibhagui, Oyakhilome - In: Journal of international financial markets, … 74 (2021), pp. 1-23
Persistent link: https://www.econbiz.de/10012803210
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Shorting the dollar when global stock markets roar : the equity hedging channel of exchange rate determination
Ben Zeev, Nadav; Nathan, Daniel - 2023
Persistent link: https://www.econbiz.de/10014486893
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The performance of initial public offerings in the Mexican stock market, 1987 - 1993
Hensler, Douglas A.; Herrera, Martin J.; Lockwood, … - In: Journal of international money and finance 19 (2000) 1, pp. 93-116
Persistent link: https://www.econbiz.de/10001452616
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The comovement of credit default swap, bond and stock markets: An empirical analysis
Norden, Lars; Weber, Martin - 2004
This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period …
Persistent link: https://www.econbiz.de/10010298261
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An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - 2008
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …
Persistent link: https://www.econbiz.de/10010323750
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An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - In: The journal of fixed income 18 (2008/09) 2, pp. 41-56
Persistent link: https://www.econbiz.de/10003777616
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The comovement of credit default swap, bond and stock markets : an empirical analysis
Norden, Lars (contributor); Weber, Martin (contributor) - 2004
Persistent link: https://www.econbiz.de/10002685021
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An empirical analysis of factors driving the swap spread
Asgharian, Hossein; Karlsson, Sonnie - 2008
In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …
Persistent link: https://www.econbiz.de/10010126547