Currency portfolios exhibit asymmetric correlations: during periods of bear, volatile world equity markets, currency … currency characteristics. This paper also illustrates how the presence of regime shifts in financial markets affects optimal … portfolio choice across currency portfolios: during bear markets, investors are better off by unwinding carry trade positions …

proxies for market volatility and liquidity. We document that the (Swiss) franc and Japanese yen appreciate against the US …We study high-frequency exchange rates over 1993-2008. Based on the recent literature on volatility and liquidity risk … dollar when US stock prices decrease and US bond prices and FX volatility increase. These safe haven properties materialise …

/CHF exchange rate of 1.20, promising to intervene on currency markets to prevent the exchange rate from falling below this level …

one-sided target zone) vis- à-vis the euro to fight deflationary pressures in the aftermath of the Great Financial Crisis … size of these interventions and that, in January 2015, the SNB's euro purchases might indeed have been large without the …

conditional volatility and density distribution close to the target zone limit, we present clear and direct evidence that the …

foreign exchange returns are significantly related to realized volatility, which reflects risk attributable to order flow and …