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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...
Persistent link: https://www.econbiz.de/10011476532
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10013261076
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Foreign exchange order flow as a risk factor
Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2023
Persistent link: https://www.econbiz.de/10014234202
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Trades of the living dead : style differences, style persistence and performance of currency fund managers
Pojarliev, Momtchil; Levich, Richard M. - 2008
Persistent link: https://www.econbiz.de/10003759397
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A critical appraisal of recent developments in the analysis of foreign exchange intervention
Vitale, Paolo - 2006
Persistent link: https://www.econbiz.de/10003353004
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Currency carry trade regimes : beyond the Fama regression
Clarida, Richard H.; Davis, Josh; Pedersen, Niels - 2009
Persistent link: https://www.econbiz.de/10003909085
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The impact of hedge funds on asset markets
Kruttli, Mathias; Patton, Andrew J.; Ramadorai, Tarun - 2013
Persistent link: https://www.econbiz.de/10010231955
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The impact of hedge funds on asset markets
Kruttli, Mathias; Patton, Andrew J.; Ramadorai, Tarun - 2014
Persistent link: https://www.econbiz.de/10010416816
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Assessing the benefits of international portfolio diversification in bonds and stocks
De Santis, Roberto A. (contributor);  … - 2008
by basic risk-arbitrage relationships. Employing GMM estimation and monthly data for 18 economies and the US (treated as …
Persistent link: https://www.econbiz.de/10003749967
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Good carry, bad carry
Bekaert, Geert; Panayotov, George - 2019
Persistent link: https://www.econbiz.de/10011982008