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Currency forecast errors and carry trades at times of low interest rates : evidence from survey data on the yen/dollar exchange rate

MacDonald, Ronald; Nagayasu, Jun - In: Journal of international money and finance 53 (2015), pp. 1-19

Persistent link: https://www.econbiz.de/10011475902

Expectation formation in the foreign exchange market : a time-varying heterogeneity approach using survey data

Prat, Georges; Uctum, Remzi - In: Applied economics 47 (2015) 34/36, pp. 3673-3695

Persistent link: https://www.econbiz.de/10011293469

Forecasting Implied Volatility in Foreign Exchange Markets : A Functional Times Series Approach

Kearney, Fearghal - 2016

We utilise functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange markets. In particular, we examine the daily implied volatility curves of FX options, namely; EUR-USD, EUR-GBP, and EUR-JPY. Based on existing techniques in the literature, the...

Persistent link: https://www.econbiz.de/10013004985

Exchange rate predictability, common factors, and applications in carry trade

Ogruk-Maz, Gokcen; Wu, Shengxiong; Yildirim, Sinan - In: International journal of monetary economics and finance … 13 (2020) 6, pp. 513-530

Persistent link: https://www.econbiz.de/10012515315

Tales of tails : jumps in currency markets

Lee, Suzanne S.; Wang, Minho - In: Journal of financial markets 48 (2020), pp. 1-29

Persistent link: https://www.econbiz.de/10012631807

Forecasting implied volatility in foreign exchange markets : a functional time series approach

Kearney, Fearghal; Cummins, Mark; Murphy, Finbarr - In: The European journal of finance 24 (2018) 1/3, pp. 1-18

Persistent link: https://www.econbiz.de/10012244257

Causal flows between oil and forex markets using high-frequency data : asymmetries from good and bad volatility

Alam, Md. Samsul; Shahzad, Syed Jawad Hussain; Ferrer, … - In: Energy economics 84 (2019), pp. 1-21

Persistent link: https://www.econbiz.de/10012183298

Carry trade strategies with factor augmented macro fundamentals : a dynamic Markov-switching factor model

Ogruk, Gokcen - In: The international journal of business and finance … 10 (2016) 3, pp. 11-28

Persistent link: https://www.econbiz.de/10011621237

Long-memory models in testing the efficiency market hypothesis of the algerian exchange market

Benzai, Yassine; Aouad, Hadjar Soumia; Djellouli, Nassima - In: Management dynamics in the knowledge economy 10 (2022) 4/38, pp. 376-390

Persistent link: https://www.econbiz.de/10013499339

Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models

Liu, Ruipeng; Segnon, Mawuli; Cepni, Oguzhan; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014448138

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