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Strong comovements of exchange rates : theoretical and empirical cases when currencies become the same asset
Kühl, Michael (contributor) - 2008
cointegration vector that is consistent with the triangular arbitrage condition. In a first step, it is theoretically derived under … forcointegration, i.e. deducing recursively. Thirdly, it applies the cointegration methodology within atriangular framework by … detecting cointegration between exchange rates that are not only denominated in U.S. dollars. And lastly, it shows that …
Persistent link: https://www.econbiz.de/10003776194
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Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics
Nguyen, Viet Hoang - 2011
We generalize the portfolio shifts model advanced by Evans and Lyons (2002a; b), and develop the dynamic asymmetric portfolio shifts (DAPS) model by explicitly allowing for possible market under- and overreactions and for asymmetric pricing impacts of order flows. Using the Reuters D2000-1 daily...
Persistent link: https://www.econbiz.de/10013123839
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Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks
Maatoug, Abderazak Ben - 2019
In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...
Persistent link: https://www.econbiz.de/10012900291
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Stock Market Interactions and the Impact of Macroeconomic News - Evidence from High Frequency Data of European Futures Markets
Kräussl, Roman; Canto, Bea - 2023
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...
Persistent link: https://www.econbiz.de/10014352510
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Analysis of the intraday effects of economic releases on the currency market
Rezania, Omid; Rachev, Svetlozar T.; Sun, Edward; … - 2010
Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...
Persistent link: https://www.econbiz.de/10010301730
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High-frequency analysis of foreign exchange interventions: what do we learn?
Menkhoff, Lukas - 2008
The high-frequency analysis of foreign exchange dynamics is helpful in order to better identify the impact of central bank interventions. Evidence robustly shows that interventions do indeed move the exchange rate level in the desired direction. Interventions increase volatility in the short run...
Persistent link: https://www.econbiz.de/10010264498
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Analysis of the Intraday Effects of Economic Releases on the, Currency Market
Rezania, Omid; Račev, Svetlozar T.; Sun, Edward; … - 2010
Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...
Persistent link: https://www.econbiz.de/10008654275
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Something in the air: information density, news surprises, and price jumps
Füss, Roland; Grabellus, Markus; Mager, Ferdinand; … - 2015
This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...
Persistent link: https://www.econbiz.de/10011344170
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The microstructure of exchange rate management : FX intervention and capital controls in Brazil
Roure, Calebe de; Furniagiev, Steven; Reitz, Stefan - 2013
This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...
Persistent link: https://www.econbiz.de/10009783713
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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