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Short-term volatility and the long-term trend of the Canadian dollar on the foreign currency market

Chelli, Rayan; Kabir, Muhammed - In: International journal of management development : IJMD 1 (2011/2016) 3, pp. 246-259

Persistent link: https://www.econbiz.de/10011619847

Applications of agent-based models and nonlinear econometrics in finance

Demary, Markus - 2010

financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial … determine their demands for foreign currency. The analysis comes to the result that small taxes levied on currency transactions …. The second part deals with the econometric estimation of speculative dynamics. I find empirical evidence for similar …

Persistent link: https://www.econbiz.de/10008664302

Predicting exchange rate volatility in Brazil : an approach using quantile autoregression

Viola, Alessandra Pasqualina; Klotzle, Marcelo Cabus; … - 2017

Persistent link: https://www.econbiz.de/10011944952

Asymmetric impact of the COVID-19 pandemic on foreign exchange markets : evidence from an extreme quantile approach

Ngo Thai Hung; Xuan Vinh Vo - In: Economics and Business Letters : EBL 12 (2023) 1, pp. 20-32

Persistent link: https://www.econbiz.de/10014250446

Currency carry trades - speculating against international parity conditions and the risk of exchange rate reversion : working Paper, this version July 2020

Mayer-Fiedrich, Matija Denise; Grzimek, Volker - 2020

Persistent link: https://www.econbiz.de/10013550042

Tests of excess forecast volatility in the foreign exchange and stock markets

Froot, Kenneth - 1987

Persistent link: https://www.econbiz.de/10009571466

Order flow, bid–ask spread and trading density in foreign exchange markets

Chen, Shikuan; Chien, Chih-Chung; Chang, Ming-Jen - In: Journal of banking & finance 36 (2012) 2, pp. 597-612

Persistent link: https://www.econbiz.de/10009511764

Can implied volatility predict returns on the currency carry trade?

Egbers, Tom; Swinkels, Laurens - In: Journal of banking & finance 59 (2015), pp. 14-26

Persistent link: https://www.econbiz.de/10011544270

Foreign exchange risk and the predictability of carry trade returns

Cenedese, Gino; Sarno, Lucio; Tsiakas, Ilias - In: Journal of banking & finance 42 (2014), pp. 302-313

Persistent link: https://www.econbiz.de/10010408374

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth - 2004

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012786275

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