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Intraday effects of the currency market

Khademalomoom, Siroos; Narayan, Paresh Kumar - In: Journal of international financial markets, … 58 (2019), pp. 65-77

Persistent link: https://www.econbiz.de/10012127824

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Persistent link: https://www.econbiz.de/10001659915

Exchange rate effects of US government shutdowns : evidence from both developed and emerging markets

Sharma, Susan Sunila; Dinh Hoang Bach Phan; Narayan, … - In: Emerging markets review 40 (2019), pp. 1-15

Persistent link: https://www.econbiz.de/10012313180

A structural approach to identify financial transmission in distinguished scenarios of crises

Herwartz, Helmut; Roestel, Jan - 2018

This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...

Persistent link: https://www.econbiz.de/10011903210

Intraday-of-the-week effects : what do the exchange rate data tell us?

Khademalomoom, Siroos; Narayan, Paresh Kumar - In: Emerging markets review 43 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012414544

The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns

Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023

We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...

Persistent link: https://www.econbiz.de/10014305726