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Gréau, Jean Luc - 1998

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Persistent link: https://www.econbiz.de/10003865680

A momentum trading strategy based on the low frequency component of the exchange rate

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Panel intensity models with latent factors : an application to the trading dynamics on the foreign exchange market

Nolte, Ingmar (contributor); Voev, Valeri (contributor) - 2007

We develop a panel intensity model, with a time varying latent factor, which captures the influence of unobserved time effects and allows for correlation across individuals. The model is designed to analyze individual trading behavior on the basis of trading activity datasets, which are...

Persistent link: https://www.econbiz.de/10003449935

A stochastic volatility model for risk-reversals in foreign exchange

Albanese, Claudio; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 877-899

Persistent link: https://www.econbiz.de/10003911250