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Noise trading, central bank interventions, and the informational content of foreign currency options
Pierdzioch, Christian - 2001
Persistent link: https://www.econbiz.de/10001626608
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10013261076
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...
Persistent link: https://www.econbiz.de/10011476532
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Microstructure of the yen/dollar foreign exchange market : patterns of intra-day activity revealed in the electronic broking system
Itō, Takatoshi; Hashimoto, Yūko - 2004
Persistent link: https://www.econbiz.de/10002418695
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Structural changes in foreign exchange markets
Akiba, Hiroya - 1994
Persistent link: https://www.econbiz.de/10000882413
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Dependence structure between the equity market and the foreign exchange market : a copula approach
Ning, Cathy Q. - In: Journal of international money and finance 29 (2010) 5, pp. 743-759
Persistent link: https://www.econbiz.de/10003989912
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Real-time price discovery in global stock, bond and foreign exchange markets
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Journal of international economics 73 (2007) 2, pp. 251-277
Persistent link: https://www.econbiz.de/10003586320
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Real-time price discovery in global stock, bond and foreign exchange markets
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2006
Persistent link: https://www.econbiz.de/10003393564
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Dynamic relations between international equity and currency markets : the role of currency order flow
Francis, Bill B.; Hasan, Iftekhar; Hunter, Delroy M. - In: The journal of business : B 79 (2006) 1, pp. 219-258
Persistent link: https://www.econbiz.de/10003301982
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Real-time price discovery in Stock, bond and foreign exchange markets
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2004
Persistent link: https://www.econbiz.de/10003350019