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Currency risk : comovements and intraday cojumps

Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76

Persistent link: https://www.econbiz.de/10011592734

Exchange rate jumps and geopolitical risks

Gillas, Konstantinos Gkillas; Gupta, Rangan; … - 2021

Persistent link: https://www.econbiz.de/10012661160

Does policy uncertainty affect equity, commodity, interest rates, and currency markets? : evidence from CBOE's volatility index

Shaikh, Imlak - In: Journal of business economics and management 21 (2020) 5, pp. 1350-1374

Economic policy drives investment, production, employment, and other macroeconomic indicators of the economy. The study examines the equity, commodity, interest rates, and currency markets, taking into consideration the US economic policy uncertainty (EPU) index. The present work determines the...

Persistent link: https://www.econbiz.de/10012271841

The microstructure of the euro money market

Hartmann, Philipp; Manna, Michele; Manzanares, Andrés - 2001

This paper provides the first empirical examination of the microstructure of the euro money market, using tick data from brokers located in 6 countries. Special emphasis is put on the institutional environment (monetary policy decisions and their implementation, payment systems and private...

Persistent link: https://www.econbiz.de/10011604126

The microstructure of the euro money market

Hartmann, Philipp; Manna, Michele; Manzanares, Andrés - European Central Bank - 2001

Persistent link: https://www.econbiz.de/10005530814

Cryptocurrencies : problems of the high-risk instrument definition

Binda, Jacek - In: Investment management and financial innovations 17 (2020) 1, pp. 227-241

Persistent link: https://www.econbiz.de/10012300759

The effects of conventional and unconventional monetary policy on exchange rate volatility

Wei, Wan; Pozo, Susan - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-19

This paper examines the impacts of U.S. conventional and unconventional monetary policy announcements on the volatility of six exchange rates, namely Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc against the U.S. dollar. Narrow windows around policy...

Persistent link: https://www.econbiz.de/10014001376

Information Spillover, Volatility and the Currency Markets for the Binary Choice Model

Omrane, Walid Ben; Hafner, Christian M. - In: International Econometric Review (IER) 1 (2009) 1, pp. 50-62

We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the...

Persistent link: https://www.econbiz.de/10012610925

Yin‐yang volatility in scale space of price‐time: a core structure of financial market risk

Pan, Heping - In: China Finance Review International 2 (2012) 4, pp. 377-405

volatilities. Such a representation is useful for designing strategies in market risk management and technical trading. A trading …‐time provides a new theoretical structure for financial market risk. It is likely to enable a new generation of core technologies … for market risk management and technical trading strategies. Originality/value – This work is original. The new notion and …

Persistent link: https://www.econbiz.de/10014694481

The economic consequences of a Tobin tax - An experimental analysis

Hanke, Michael; J?rgen Huber; Kirchler, Michael; … - Institut für Finanzwissenschaft, Fakultät für … - 2007

The effects of a Tobin tax on foreign exchange markets have long been disputed. We present an experiment with currency trading on two markets, where either none, one, or both markets are taxed. Our results confirm the hitherto undisputed issues: a tax reduces trading volume, shifts market share...

Persistent link: https://www.econbiz.de/10005399040