Similar Search Results

Intraday effect of news on emerging European forex markets : an event study analysis

Kočenda, Evžen; Moravcová, Michala - 2018

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the …

Persistent link: https://www.econbiz.de/10011902959

Intraday effect of news on emerging European forex markets : an event study analysis

Kočenda, Evžen; Moravcova, Michala - 2016

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the …

Persistent link: https://www.econbiz.de/10011568576

Impact of the Foreign Exchange Rates Fluctuations on Returns and Volatility of the Bucharest Stock Exchange

Stefanescu, Razvan - 2013

This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock … of the foreign exchange market on the Bucharest Stock Exchange. During a period of time between the Romania's adhesion to … influenced not only the stock returns but also their volatility. However, between March 2010 and December 2012 the impact of the …

Persistent link: https://www.econbiz.de/10013083322

Money, finance, and economic development

Li, Xiaowei - 2003

Persistent link: https://www.econbiz.de/10003623750

Signaling virtue or vulnerability? : the changing impact of exchange rate regimes on government bond yields

Barta, Zsófia; Baccaro, Lucio; Johnston, Alison - 2022

Do exchange rate regimes affect the conditions under which developed countries borrow? This paper argues that they do, but their impact on yields depends on the prevailing macroeconomic context. When investors regard inflation as the most relevant risk to bond holdings, monetary union has a...

Persistent link: https://www.econbiz.de/10013399873

The crisis in the foreign exchange market

Melvin, Michael; Taylor, Mark P. - 2009

implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blowʺ narrative is …

Persistent link: https://www.econbiz.de/10003861767

Forecast evaluation of explanatory models of financial variability

Sucarrat, Genaro - 2009

obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on … illustration provides an example of where an explanatory model outperforms realised volatility ex post. -- Financial variability … ; financial volatility ; forecasting ; explanatory modelling ; exchange rates …

Persistent link: https://www.econbiz.de/10003829997

Forecast Evaluation of Explanatory Models of Financial Return Variability

Sucarrat, Genaro - 2011

A practice that has become widespread is that of comparing forecasts of financial return variability obtained from discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return variability modelling this raises several methodological and...

Persistent link: https://www.econbiz.de/10013132293

Aggregate Trading Behaviour of Technical Models and the Yen/Dollar Exchange Rate 1976-2007

Schulmeister, Stephan - 2010

The study analyses the interaction between the trading behaviour of 1,024 moving average and momentum models and the fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite profitably between 1976 and 2007. I then show that the...

Persistent link: https://www.econbiz.de/10013135725

Study on Return and Volatility Spillover Effects Among Stock, CDS, and Foreign Exchange Markets in Korea

I, Taly - 2016

The key objective of this study is to investigate the return and volatility spillover effects among stock market … trivariate VAR BEKK GARCH (1,1) model, the study finds that there are significant return and volatility spillover effects between … and the US stock market to the Korean stock market, and the volatility spillover effect from the Japanese stock market to …

Persistent link: https://www.econbiz.de/10013003256

1
2
3
4
5
6
7
8
9
10
Next
Last