proxies for market volatility and liquidity. We document that the (Swiss) franc and Japanese yen appreciate against the US … over different time granularities (from a few hours to several days) and non-linearly with the volatility factor and during …We study high-frequency exchange rates over 1993-2008. Based on the recent literature on volatility and liquidity risk …

We investigate time varying risk premia in forward dollar/pound monthly exchange rates over the last two decades. We … study this issue using a signal plus noise model and separately using regression techniques. Our models account for time … varying volatility and non-normalities in the observed series. Our signal plus noise model fails to isolate a statistically …

currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … the estimation results, two currencies, the Swiss franc and (to a lesser extent) the US dollar qualify as safe haven … analysis of bilateral euro-based exchange rates, given the euro's prominent role during the euro area sovereign debt crisis …

/CHF exchange rate well during this particular time. We show that, as predicted by Krugman's model, the sole expectation that the … Swiss National Bank would prevent the Swiss franc from appreciating beyond 1.20 to the euro muted the sensitivity of EUR …

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on …. -- High frequency data ; long memory ; volatility persistence ; structural breaks …