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Monetary policy announcement and algorithmic news trading in the foreign exchange market
Goshima, Keiichi; Kumano, Yusuke - 2018
Persistent link: https://www.econbiz.de/10013447834
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A high-low model of daily stock price ranges
Cheung, Stephen Y. L. (contributor);  … - 2008
volatility …
Persistent link: https://www.econbiz.de/10003749656
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Financial development and the volatility of growth : time series evidence for Mexico and United States
Cermeño, Rodolfo; Roa García, María José; González … - In: Monetaria : English edition 4 (2016) 2, pp. 195-232
Persistent link: https://www.econbiz.de/10011760389
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Liquidity creation and financial instability
Becke, Susanne von der - 2015
Persistent link: https://www.econbiz.de/10011420133
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Market volatility transmission and central banking : what happened during the subprime crisis?
Bensafta, Kamel Malik; Semedo, Gervasio - In: International economic journal 28 (2014) 4, pp. 559-588
Persistent link: https://www.econbiz.de/10010504200
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Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model
Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196
Persistent link: https://www.econbiz.de/10011378505
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Determinants of the CNY/USD exchange rate : a simultaneous-equation model
Hsing, Yu - In: International journal of monetary economics and finance 8 (2015) 3, pp. 274-281
Persistent link: https://www.econbiz.de/10011502648
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10010395968
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Asymmetric generalized impulse responses with an application in finance
Hatemi-J, Abdulnasser - In: Economic modelling 36 (2014), pp. 18-22
Persistent link: https://www.econbiz.de/10010412088
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Spekulation, Preisbildung und Volatilität auf Finanz- und Devisenmärkten
Alexander, Volbert; Kugler, Peter; Streissler, Erich; … - Verein für Socialpolitik / Ausschuss für Geldtheorie … - 1998
Die Beiträge des Bandes befassen sich mit den Mechanismen der Preisbildung auf den Finanz- und Devisenmärkten. Besonderes Interesse gilt der Rolle von Spekulation und Arbitrage und der sich daraus ergebenden Volatilität der Finanzmarktpreise. -- Der Beitrag von E. W. Streissler hat die...
Persistent link: https://www.econbiz.de/10011401983