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Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011500273
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Forecasting the Euro exchange rate using vector error correction models
Aarle, Bas van; Boss, Michael; Hlouskova, Jaroslava - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 136 (2000) 2, pp. 232-258
Persistent link: https://www.econbiz.de/10001490587
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The currency composition of international reserves, demand for international reserves, and global safe assets
Aizenman, Joshua; Cheung, Yin-Wong; Qian, Xingwang - 2019
Persistent link: https://www.econbiz.de/10012053193
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Anticipations of foreign exchange volatility and bid-ask spreads
Wei, Shang-jin - 1991
Persistent link: https://www.econbiz.de/10000130703
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Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads
Wei, Shang-Jin - 2000
The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …
Persistent link: https://www.econbiz.de/10012788531
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Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads
Wei, Shang-Jin - 1994
The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …
Persistent link: https://www.econbiz.de/10012474188
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Dollar Carry Timing
de Oliveira Souza, Thiago - 2021
Dollar carry trade risk premiums – unlike dollar-neutral or foreign exchange carry risk premiums – are positively correlated with firm-level dispersions in investment, profitability, and book-to-market in addition to the Treasury-bill rate, long term bond yield, term spread, and default...
Persistent link: https://www.econbiz.de/10013242629
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Dollar Carry Timing
de Oliveira Souza, Thiago - 2021
Dollar carry trade risk premiums - unlike dollar-neutral or foreign exchange carry risk premiums - are positively correlated with firm-level dispersions in investment, profitability, and book-to-market in addition to the Treasury-bill rate, long term bond yield, term spread, and default spread....
Persistent link: https://www.econbiz.de/10013242806
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Safe haven currencies
Ranaldo, Angelo; Söderlind, Paul - 2009
Persistent link: https://www.econbiz.de/10003835854
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The demise of the Swiss Interest Rate Puzzle
Kugler, Peter; Weder, Beatrice - 2009
In this paper we analyzed the violations of UIP for the Swiss Franc against the Dollar, the Euro, the Yen, the Pound … the five currencies for the 1999 – 2008 sample. Unfortunately our attempt to locate the time of change and the currencies … the Euro and the Dollar, the two most important foreign currencies from a Swiss perspective. …
Persistent link: https://www.econbiz.de/10003891494