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Judgement day : algorithmic trading around the Swiss franc cap removal

Breedon, Francis J.; Chen, Louisa; Ranaldo, Angelo; … - 2018

that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …

Persistent link: https://www.econbiz.de/10011906367

The Swiss franc's honeymoon

Studer-Suter, Rahel; Janssen, Alexandra - 2014

To counter the sharp appreciation of the Swiss franc that set in in the wake of the European sovereign debt crisis, on September 6, 2011, the Swiss National Bank announced to enforce a minimum EUR/CHF exchange rate of CHF 1.20. We find that the simple, though elegant model for the exchange rate...

Persistent link: https://www.econbiz.de/10010402676

Exchange rate returns and external adjustment : evidence from Switzerland

Grisse, Christian; Nitschka, Thomas - 2014

number of countries, e.g. Switzerland, where the original Gourinchas and Rey (2007) approximation cannot be used. We find …

Persistent link: https://www.econbiz.de/10010495184

Asymmetric Volatility in Swiss Franc Cross-Rate Futures

Gregory, Richard Paul - 2010

I test for the presence of asymmetric volatility in the Swiss Franc cross-rate futures markets. My investigation is … based on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series … from 2004 through 2009. I find that a decline in futures returns, while apparently leading to lower volatility asymmetry …

Persistent link: https://www.econbiz.de/10013144279

The Swiss franc's honeymoon

Janssen, Alexandra; Studer, Rahel - 2017 - Revised version, January 2017

Starting from the stylized fact that the Swiss franc is a safe haven currency, this paper focuses on the determinants of the Swiss franc during the lower bound regime from September 2011 to January 2015. We describe the Swiss franc as a function of global market risk fundamentals and find that...

Persistent link: https://www.econbiz.de/10011590470