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Foreign Exchange Predictability During the Financial Crisis : Implications for Carry Trade Profitability

Anatolyev, Stanislav - 2017

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Persistent link: https://www.econbiz.de/10012948703

Foreign Exchange Risk and the Predictability of Carry Trade Returns

Cenedese, Gino - 2014

losses, which is consistent with the unwinding of the carry trade in times of high volatility. The decomposition of market …

Persistent link: https://www.econbiz.de/10013066169

Price Discovery of a Speculative Asset : Evidence from a Bitcoin Exchange

Ghysels, Eric - 2018

aggressiveness within the first 10 tiers, but that this pattern reverses in the outer layers of the book. In a high volatility …

Persistent link: https://www.econbiz.de/10012910270

Destabilizing Speculation and Exchange Rate Volatility

James, Robert G. - 2016

A simple two period, two country model is used to show that profit seeking speculation can destabilize exchange rates, a fact that has important implications toward international financial policy. Stable exchange rates may require use of government regulation and/or taxation to prevent the...

Persistent link: https://www.econbiz.de/10012997702

Yin-yang volatility in scale space of price-time: a core structure of financial market risk

Pan, Heping - In: China Finance Review International 2 (2012) August, pp. 377-405

Purpose–The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets …/methodology/approach–The volatility of the financial market price is usually defined with the standard deviation or variance of the price or price returns …. This standard definition of volatility is split into the upper part and the lower one, which are termed here as Yang …

Persistent link: https://www.econbiz.de/10010565828

The Quest for Stability: The View of Financial Institutions

Blommestein, Hans J.; Hoogduin, Lex H.; Peeters, … - 2010

On September 3-4, 2009 SUERF and Utrecht University School of Economicsorganized the Colloquium "The Quest for Stability" in Utrecht, the Netherlands. The papers included in this SUERF Study are based on contributions to the Colloquium.

Persistent link: https://www.econbiz.de/10011689944

FX and OTC Derivatives Markets Through the Lens of the Triennial Survey

Wooldridge, Philip D. - 2019

The 2019 BIS Triennial Central Bank Survey provided new insights about the boost that electronification gave to trading in FX and OTC derivatives markets, and the role of compression and clearing in containing the growth of outstanding derivatives exposures

Persistent link: https://www.econbiz.de/10012857870

FX Market Trends Before, Between and Beyond Triennial Surveys

Bech, Morten L. - 2014

primarily driven by a drop in spot transactions involving mainly euros or yen against the US dollar. The decline in euro trading … extends a trend that began in the third quarter of 2011, while the fall in yen trading reflects a partial reversal of a sharp …

Persistent link: https://www.econbiz.de/10013057712

Analysis of the Effects of the US Stock Market Returns and Exchange Rate Changes on Emerging Market Economies' Stock Market Volatilities

Kayral, Ihsan Erdem - 2017

In this paper, the effects of the US stock market returns, exchange rate changes and volatilities on stock market volatilities in 10 emerging market economies between 2000-2013 (also two sub-periods covering the time between 2000-2007, and between 2008-2013) have been analysed with separate 30...

Persistent link: https://www.econbiz.de/10012950808

Zur Qualität professioneller Wechselkursprognosen : sind professionelle Wechselkursprognosen eine sinnvolle Entscheidungshilfe für Unternehmen und Investoren?/ Robert Schmidt

Schmidt, Robert - 2003

Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...

Persistent link: https://www.econbiz.de/10010498979