We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011–2015. Our...

This paper proposes a multivariate fuzzy logic approach to boosting the profitability of technical analysis for currency trading. The approach incorporates information on underlying market volatility in addition to order-flow-based exchange-rate return forecasts. We show the superiority of our...

The forward premium anomaly has served as the theoretical foundation of positive returns from currency speculation. Nonlinearity in the relation of currency returns and interest rate differentials should be included in speculator expectations. Within narrow ranges, the counteracting effects of...

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011-2015. Our...

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty, the Hungarian forint and the dollar/euro from 1999 to 2016. We apply the dynamic conditional correlations (DCC) model and the Diebold Yilmaz spillover index to examine the...

The paper presents results of empirical tests with hybrid nominal exchange rate models for the Brazilian foreign exchange market, using macroeconomic and market microstructure variables. The basic model was originally proposed and tested in the German (DM/US$) and the Japanese (Y/US$) foreign...

This paper studies conditional correlated jump dynamics in foreign exchange returns using a new bivariate jump model with autoregressive jump intensities. Using daily data of German Mark against British Pound and Japanese Yen against the U.S. dollar, we find currency return correlations are...

Many empirical studies show that forward rate under or over predict the future spot rate. These studies theorize that the possible explanation can be existence of risk premium in the foreign exchange market. This paper carries out an empirical investigation to determine the presence of risk...

This paper evaluates two popular regression methods of testing the unbaisedness hypothesis in the forward foreign exchange market. For the 30-day Canada/United States forward foreign exchange market, the evidence overwhelmingly indicates that it is inappropriate to treat the structure of the...