Narrow search
Showing 1 - 10 of 2,930
Cover Image
Time Spreads in China SSE 50 Options
Slivka, Ronald T. - 2020
Using day-end pricing data from a comprehensive data base not readily available outside of China, an algorithm to trade near-the-money call option time spreads on China's SSE 50 ETF was developed and tested. Analysis of in-sample data, suggested profitable trading rules that, when applied to...
Persistent link: https://www.econbiz.de/10012844137
Cover Image
China: central bank swaps to Argentina, 2014
Arnold, Vincient - In: The journal of financial crises 5 (2023) 1, pp. 158-188
Persistent link: https://www.econbiz.de/10014384281
Cover Image
Chinese yuan interest rate swap yields
Akram, Tanweer; Mamun, Khawaja Abdullah al - 2023
This paper models the dynamics of Chinese yuan (CNY)-denominated long-term interest rate swap yields. The financial …-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables … of the long-term swap yield. The empirical findings show that the People's Bank of China's influence extends even to the …
Persistent link: https://www.econbiz.de/10013547789
Cover Image
Hedging demand and near-zero swap spreads : evidence from the Chinese interest rate swap market
Li, Shaoyu; Zhu, Chunhui; Shang, Yuhuang - In: The quarterly review of economics and finance : journal … 91 (2023), pp. 170-185
Persistent link: https://www.econbiz.de/10014461557
Cover Image
A monetary policy-based explanation of swap spreads in China
Fan, Longzhen; Hou, Xin; Sun, Qian - In: The journal of futures markets 43 (2023) 11, pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
Cover Image
The Zeeman Effect in Finance : Libor Spectroscopy and Basis Risk Management
Bianchetti, Marco - 2012
should be carefully considered by anyone managing even a single plain vanilla Swap.In this qualitative note we review the …
Persistent link: https://www.econbiz.de/10013113679
Cover Image
Information Flow between Forward and Spot Markets : Evidence from the Chinese Renminbi
Tong, Jiadong - 2015
We apply a new model selection approach that allows for the joint determination of structural breaks and cointegration to examine the term structure of Chinese Renminbi (RMB)-U.S. dollar spot and forward exchange rates during the managed-floating period of 2005-2013. We find that the RMB market...
Persistent link: https://www.econbiz.de/10013017122
Cover Image
Information flow between forward and spot markets : evidence from the Chinese Renminbi
Tong, Jiadong; Wang, Zijun; Yang, Jian - In: The journal of futures markets 36 (2016) 7, pp. 695-718
Persistent link: https://www.econbiz.de/10011568547
Cover Image
Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10003825947
Cover Image
Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011378229