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Understanding non-deliverable forward (NDF) markets and NDF volatility spilover to on-shore Indian rupee markets

Chadha, Bandana - In: International journal of applied business and economic … 15 (2017) 1, pp. 39-53

Persistent link: https://www.econbiz.de/10011672837

Intraday price discovery analysis in the foreign exchange market of an emerging economy : Mexico

Martinez, Valeria; Tse, Yiuman - In: Research in international business and finance 45 (2018), pp. 271-284

Persistent link: https://www.econbiz.de/10011983258

The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market

Chang, Jui-chuan Della; Chang, Kuang-Liang - In: The North American journal of economics and finance : a … 46 (2018), pp. 15-28

Persistent link: https://www.econbiz.de/10012036585

Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets

Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American journal of economics and finance : a … 46 (2018), pp. 168-186

Persistent link: https://www.econbiz.de/10012036615

Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets

Kilic, Erdem - In: Economic modelling 62 (2017), pp. 51-67

Persistent link: https://www.econbiz.de/10011813162

Covered interest parity : a stochastic volatility approach to estimate the neutral band

Hernández, Juan Ramón - 2020

proposes an estimate of the neutral band based on the one-step-ahead density forecast obtained from a stochastic volatility … stochastic volatility models have the best fit and forecasting performance, hence superior neutral band estimates. …

Persistent link: https://www.econbiz.de/10012195198

Price discovery and volatility transmission in currency spot and futures markets in India : an empirical analysis

Sakthivel, P.; Chittedi, Krishna Reddy; Sakyi, Daniel - In: Global business review 20 (2019) 4, pp. 931-945

Persistent link: https://www.econbiz.de/10012137518

The frequency of one-day abnormal returns and price fluctuations in the FOREX

Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020

This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...

Persistent link: https://www.econbiz.de/10012196296

Violations of uncovered interest rate parity and international exchange rate dependences

Ames, Matthew; Bagnarosa, Guillaume; Peters, Gareth - In: Journal of international money and finance 73 (2017), pp. 162-187

Persistent link: https://www.econbiz.de/10011787712

Are exchange rates interdependent? : evidence using wavelet analysis

Kumar, Satish; Pathak, Rajesh; Tiwari, Aviral Kumar; … - In: Applied economics 49 (2017) 31/33, pp. 3231-3245

Persistent link: https://www.econbiz.de/10011774731