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Day-of-the-month effects in the performance of monumentum trading strategies in the foreign exchange market
Harris, Richard D. F.; Stoja, Evarist; Yilmaz, Fatih - In: The journal of trading 4 (2009) 1, pp. 48-55
Persistent link: https://www.econbiz.de/10003810720
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A cyclical model of exchange rate volatility
Harris, Richard D. F.; Stoja, Evarist; Yilmaz, Fatih - 2010
Persistent link: https://www.econbiz.de/10008659913
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A cyclical model of exchange rate volatility
Harris, Richard D. F.; Stoja, Evarist; Yilmaz, Fatih - In: Journal of banking & finance 35 (2011) 11, pp. 3055-3064
Persistent link: https://www.econbiz.de/10009374618
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A Cyclical Model of Exchange Rate Volatility
Harris, Richard D. F. - 2012
In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical deviation of the range from the long run trend as a...
Persistent link: https://www.econbiz.de/10013114842
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Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market
Harris, Richard D. F. - 2008
In this paper, we document a very strong day-of-the-month effect in the performance of momentum strategies in the foreign exchange market. We show that this seasonality in trading strategy performance is attributable to seasonality in the conditional volatility of foreign exchange returns, and...
Persistent link: https://www.econbiz.de/10012722986
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A Cyclical Model of Exchange Rate Volatility
Stoja, Evarist; Harris, Richard D. F.; Yilmaz, Fatih - School of Economics, Finance and Management, University … - 2010
In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical deviation of the range from the long run trend as a...
Persistent link: https://www.econbiz.de/10009642531
Cover Image
Day-of-the-month effects in the performance of monumentum trading strategies in the foreign exchange market
Harris, Richard D. F.; Stoja, Evarist; Yilmaz, Fatih - In: The journal of trading 4 (2009) 1, pp. 48-55
Persistent link: https://www.econbiz.de/10009881769
Cover Image
Day-of-The-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market
Harris, Richard D. F.; Stoja, Evarist; Yilmaz, Fatih - 2010
In this paper, we document a very strong day-of-the-month effect in the performance of momentum strategies in the foreign exchange market. We show that this seasonality in trading strategy performance is attributable to seasonality in the conditional volatility of foreign exchange returns, and...
Persistent link: https://www.econbiz.de/10014190386
Cover Image
A cyclical model of exchange rate volatility
Harris, Richard D.F.; Stoja, Evarist; Yilmaz, Fatih - In: Journal of Banking & Finance 35 (2011) 11, pp. 3055-3064
In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical deviation of the range from the long run trend as a...
Persistent link: https://www.econbiz.de/10009292507
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A cyclical model of exchange rate volatility
Harris, Richard D.F.; Stoja, Evarist; Yilmaz, Fatih - In: Journal of banking & finance 35 (2011) 11, pp. 3055-3065
Persistent link: https://www.econbiz.de/10009290653