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Noise traders and the volatility of exchange rates

Bauer, Christian; Herz, Bernhard - 2003

Persistent link: https://www.econbiz.de/10001771384

Demystifying Time-Series Momentum Strategies : Volatility Estimators, Trading Rules and Pairwise Correlations

Baltas, Nick - 2019

-series momentum strategies on turnover and performance. We show that more efficient volatility estimation and price trend detection … dynamic leverage mechanism. The correlation-adjusted variant outperforms the naive implementation of the strategy and the …

Persistent link: https://www.econbiz.de/10012905544

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

Persistent link: https://www.econbiz.de/10010407524

Nonlinear dynamic correlation between geopolitical risk and oil prices : a study based on high-frequency data

Huang, Jianbai; Ding, Qian; Zhang, Hongwei; Guo, Yaoqi; … - In: Research in international business and finance 56 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013266166

Multifractal models, intertrade durations and return volatility

Segnon, Mawuli - 2015

Persistent link: https://www.econbiz.de/10011299266

Feedback trading in currency markets : international evidence

Tayeh, Mohammad; Kallinterakis, Vasileios - In: The journal of behavioral finance : a publication of … 23 (2022) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10012802007

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

Analyzing time-frequency co-movements across gold and oil prices with BRICS stock markets : a VaR based on wavelet approach

Mensi, Walid; Hkiri, Besma; Al-Yahyaee, Khamis Hamed; … - In: International review of economics & finance : IREF 54 (2018), pp. 74-102

Persistent link: https://www.econbiz.de/10012033348

Contagion among select global equity markets : a time-frequency analysis

Bhandari, Avishek; Kamaiah, Bandi - In: Global economy journal : GEJ 19 (2019) 4, pp. 1950023-1-29

Persistent link: https://www.econbiz.de/10012214476

Are exchange rates interdependent? : evidence using wavelet analysis

Kumar, Satish; Pathak, Rajesh; Tiwari, Aviral Kumar; … - In: Applied economics 49 (2017) 31/33, pp. 3231-3245

Persistent link: https://www.econbiz.de/10011774731

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