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Stochastic process switching and the return to gold, 1925
Smith, Gregor W.; Smith, R. T. - 1988
Persistent link: https://www.econbiz.de/10000125026
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A class of asset pricing models governed by subordinate processes that signal economic shocks
Jagannathan, Raj - In: Journal of economic dynamics & control 32 (2008) 12, pp. 3820-3846
Persistent link: https://www.econbiz.de/10003804746
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Panel intensity models with latent factors : an application to the trading dynamics on the foreign exchange market
Nolte, Ingmar (contributor); Voev, Valeri (contributor) - 2007
behavioral biases and discuss implications for portfolio theory. -- Trading Activity Datasets ; Panel Intensity Models ; Latent …
Persistent link: https://www.econbiz.de/10003449935
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A stochastic volatility model for risk-reversals in foreign exchange
Albanese, Claudio; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 877-899
Persistent link: https://www.econbiz.de/10003911250
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Jumps in foreign exchange rates and stochastic unwinding of carry trades
Nirei, Makoto; Sushko, Vladyslav - In: International review of economics & finance : IREF 20 (2011) 1, pp. 110-127
Persistent link: https://www.econbiz.de/10009304196
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On the nonstationarity of the exchange rate process
Ohnishi, Takaaki; Takayasu, Hideki; Itō, Takatoshi; … - In: International review of financial analysis 23 (2012), pp. 30-34
Persistent link: https://www.econbiz.de/10009690133
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Absolute adviser or stochastic model of trade on the “heavy tails” of distributions
Avdeenko, Alexey M. - In: Journal of mathematical finance 3 (2013) 2, pp. 268-274
Persistent link: https://www.econbiz.de/10010239573
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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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High Frequency Information Content in End-User Foreign Exchange Order Flows
Marsh, Ian W. - 2011
This paper considers the impact of foreign exchange order flows on contemporaneous and future stock market returns using a new database of customer order flows in the €-$ exchange rate market as seen by a leading European bank. We do not find clear contemporaneous relationships between FX...
Persistent link: https://www.econbiz.de/10013125789