Search Results - subject:"Intraday Data"

The intraday effects of central bank intervention on exchange rate spreads

Fatum, Rasmus; Pedersen, Jesper; Sørensen, Peter Norman - In: Journal of International Money and Finance 33 (2013) C, pp. 103-117

. Official intraday data on Danish intervention transactions in the ERM II, the Exchange Rate Mechanism of the European Union …

Persistent link: https://www.econbiz.de/10011048538

Variance Risk Premiums in Foreign Exchange Markets

Ammann, Manuel; Buesser, Ralf - School of Finance, Universität St. Gallen - 2013

intraday data with low frequency. As a likely consequence of microstructure effects however, the evidence is ambiguous when …

Persistent link: https://www.econbiz.de/10010686709

An empirical analysis of the downside risk-return trade-off at daily frequency

Sévi, Benoît - In: Economic Modelling 31 (2013) C, pp. 189-197

empirically this hypothesis using intraday data along with the recent measure of downside-risk called realized semivariance …

Persistent link: https://www.econbiz.de/10010636296

Forecasting EUR–USD implied volatility: The case of intraday data

Dunis, Christian; Kellard, Neil M.; Snaith, Stuart - In: Journal of Banking & Finance 37 (2013) 12, pp. 4943-4957

This study models and forecasts the evolution of intraday implied volatility on an underlying EUR–USD exchange rate for a number of maturities. To our knowledge we are the first to employ high frequency data in this context. This allows the construction of forecasting models that can attempt...

Persistent link: https://www.econbiz.de/10010709463