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The effect of a transaction tax on exchange rate volatility

Lanne, Markku; Vesala, Timo - In: International journal of finance & economics : IJFE 15 (2010) 2, pp. 123-133

Persistent link: https://www.econbiz.de/10008702361

The Effect of a Transaction Tax on Exchange Rate Volatility

Lanne, Markku; Vesala, Timo - 2007

We argue that a transaction tax is likely to amplify, not dampen, volatility in the foreign exchange markets. Our … trades disproportionately, leading to increased volatility. Empirical support for this prediction is found by investigating … the effect of transaction costs on the volatility of DEM/USD and JPY/USD returns. High-frequency data are used and an …

Persistent link: https://www.econbiz.de/10014223793

Seasonal processes in the Euro-US Dollar daily exchange rate

Cellini, Roberto; Cuccia, Tiziana - In: Applied financial economics 24 (2014) 1/3, pp. 161-174

Persistent link: https://www.econbiz.de/10010391453

Mixture distribution hypothesis and the impact of a Tobin tax on exchange rate volatility : a reassessment

Damette, Olivier - In: Macroeconomic dynamics 20 (2016) 6, pp. 1600-1622

Persistent link: https://www.econbiz.de/10011623396

Taux de change, aléas réels et volatilité

Artus, Patrick - 1999

Persistent link: https://www.econbiz.de/10001414633

Malliavin calculus for the estimation of the U.S. dollar/euro exchange rate when the volatility is stochastic

Abutaleb, Ahmed; Papaioannou, Michael G. - In: Global information technology and competitive financial …, (pp. 71-101). 2006

Persistent link: https://www.econbiz.de/10003380428

The US dollar/euro exchange rate : structural modeling and forecasting during the recent financial crises

Morana, Claudio - In: Journal of forecasting 36 (2017) 8, pp. 919-935

Persistent link: https://www.econbiz.de/10011860924

Analysis of the intraday effects of economic releases on the currency market

Sun, Edward W.; Rezania, Omid; Račev, Svetlozar T.; … - In: Journal of international money and finance 30 (2011) 4, pp. 692-707

Persistent link: https://www.econbiz.de/10009268786

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - In: Journal of international financial markets, … 22 (2012) 5, pp. 1091-1109

Persistent link: https://www.econbiz.de/10010220182

Conventions in the foreign exchange market : do they really explain exchange rate dynamics?

Filippo, Gabriele di - 2010

Persistent link: https://www.econbiz.de/10003940344

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