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What drives volatility persistence in the foreign exchange market?

Berger, David; Chaboud, Alain; Hjalmarsson, Erik; … - Federal Reserve Board (Board of Governors of the … - 2006

We analyze the factors driving the widely-noted persistence in asset return volatility using a unique dataset on global euro-dollar exchange rate trading. We propose a new simple empirical specification of volatility, based on the Kyle-model, which links volatility to the information flow,...

Persistent link: https://www.econbiz.de/10005368226

Summary measures of the dollar's foreign exchange value

Hooper, Peter; Morton, John - In: Federal Reserve Bulletin (1978) Oct, pp. 783-789

Persistent link: https://www.econbiz.de/10005379897

Exchange rate policy and the dual role of exchange rate movements in international adjustment

Goodfriend, Marvin - In: Economic Review (1979) Sep, pp. 16-26

An abstract for this article is not available

Persistent link: https://www.econbiz.de/10005063801

Conditioning carry trades : less risk, more return

Mulder, Arjen; Tims, Ben - In: Journal of international money and finance 85 (2018), pp. 1-19

Persistent link: https://www.econbiz.de/10012000369

Linkages among energy price, exchange rates and stock markets : evidence from emerging African economies

Ahmed, Abdullahi Dahir; Huo, Rui - In: Applied economics 52 (2020) 18, pp. 1921-1935

Persistent link: https://www.econbiz.de/10012197624

Volatility transmission between stock and foreign exchange markets : a connectedness analysis

Fernández Rodríguez, Fernando; Sosvilla-Rivero, Simón - In: Applied economics 52 (2020) 19, pp. 2096-2108

Persistent link: https://www.econbiz.de/10012197679

Cross-market information spillover and the performance of technical trading in the foreign exchange market

Chang, Yung-ho - In: Journal of economics and finance 43 (2019) 2, pp. 211-227

Persistent link: https://www.econbiz.de/10012171037

Country ETFS, currencies and international diversification

Williams, S. Owen - In: The journal of asset management 15 (2014) 6, pp. 392-414

Persistent link: https://www.econbiz.de/10010476255

Uncertainty network risk and currency returns

Babiak, Mykola; Baruník, Jozef - 2021

Persistent link: https://www.econbiz.de/10012583340

Forex exchange rate forecasting using deep recurrent neural networks

Dautel, Alexander Jakob; Härdle, Wolfgang; Lessmann, Stefan - In: Digital finance : smart data analytics, investment … 2 (2020) 1/2, pp. 69-96

Persistent link: https://www.econbiz.de/10012284950

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