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Fundamentals, regime shifts and dollar behaviour in the 1980s : an empirical analysis

Cifarelli, Giulio - 1992

Persistent link: https://www.econbiz.de/10000858964

On time varying risk premia in the foreign exchange market

Cifarelli, Giulio - 1995

Persistent link: https://www.econbiz.de/10000933271

Sistematic forward forecast errors, ex ante real interest rate differentials and ex ante real exchange rate changes : an empirical analysis

Cifarelli, Giulio - 1993

Persistent link: https://www.econbiz.de/10000888394

Commodity pricing volatility shifts in a highly turbulent time period : a time-varying transition probability Markov switching analysis

Cifarelli, Giulio - 2023

Persistent link: https://www.econbiz.de/10014539008

Stock market exuberance : linkages between the US and the European markets

Cifarelli, Giulio; Paladino, Giovanna - 2000

Persistent link: https://www.econbiz.de/10001604060

Volatility spillovers and the role of leading financial centres

Cifarelli, Giulio; Paladino, Giovanna - In: Quarterly review / Banca Nazionale del Lavoro, Roma 54 (2001), pp. 37-71

Persistent link: https://www.econbiz.de/10001579434

Speculative Cotton Pricing in the 1920s : A Nonlinear Tale of Noise Traders and Fundamentalists

Cifarelli, Giulio - 2013

The paper investigates the role of speculation in the Liverpool cotton futures market between 1921 and 1929. The analysis is based on historical descriptions of the working of speculation in commodity markets and is related to the tenets of behavioural finance. The model posits the existence of...

Persistent link: https://www.econbiz.de/10013085214

On the relevance of the purchasing power hypothesis as a determinant of exchange rate equilibrium in the post WWI French Franc floating exchange rate period

Cifarelli, Giulio; Paesani, Paolo - 2024

Persistent link: https://www.econbiz.de/10015196691

Oil futures market : a dynamic model of hedging and speculation

Cifarelli, Giulio; Paladino, Giovanna - In: The interrelationship between financial and energy markets, (pp. 141-155). 2014

Persistent link: https://www.econbiz.de/10010411146

Structural Interdependence of Price and Demand in a Model of the Foreign Exchange Market with Heterogeneous Speculators : Evidence from High-frequency Data

Bargigli, Leonardo - 2020

We assume that the variations of the exchange rate depend on the current net demand of the base currency as a consequence of market making, and that the current net demand of the base currency depends on current and past variations of the exchange rate as a consequence of how future price...

Persistent link: https://www.econbiz.de/10012837857