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Noise trades and foreign exchange volatility
Ben Omrane, Walid - In: International journal of bonds and derivatives 1 (2013) 1, pp. 30-53
Persistent link: https://www.econbiz.de/10010338911
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Noise trading, central bank interventions, and the informational content of foreign currency options
Pierdzioch, Christian - 2001
Persistent link: https://www.econbiz.de/10001626608
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The impact of FX central bank intervention in a noise trading framework
Beine, Michel (contributor); De Grauwe, Paul (contributor);  … - 2005
In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...
Persistent link: https://www.econbiz.de/10003113337
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The impact of FX central bank intervention in a noise trading framework
Beine, Michel; De Grauwe, Paul; Grimaldi, Marianna - 2005
In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...
Persistent link: https://www.econbiz.de/10003090615
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10013261076
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The impact of FX central bank intervention in a noise trading framework
Beine, Michel; De Grauwe, Paul; Grimaldi, Marianna - In: Exchange rates and global financial policies, (pp. 189-216). 2014
Persistent link: https://www.econbiz.de/10010350406
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The impact of FX central bank intervention in a noise trading framework
Beine, Michel; De Grauwe, Paul; Grimaldi, Marianna - In: Journal of banking & finance 33 (2009) 7, pp. 1187-1195
Persistent link: https://www.econbiz.de/10003842244
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …
Persistent link: https://www.econbiz.de/10011476532
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Monetary policy and noise traders : a welfare analysis
Shin, Jong Kook; Subramanian, Chetan - In: Journal of macroeconomics 49 (2016), pp. 33-45
Persistent link: https://www.econbiz.de/10011707815
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The Impact of FX Central Bank Intervention in a Noise Trading Framework
De Grauwe, Paul; Grimaldi, Marianna; Beine, Michel - 2021
In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...
Persistent link: https://www.econbiz.de/10013318288