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Econometric Modeling: International Financial Markets - Foreign Exchange eJournal

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Viewing: 1 - 50 of 1,168 papers

1.

Is Bitcoin Really Un-Tethered?

Number of pages: 119 Posted: 25 Jun 2018 Last Revised: 05 Nov 2019
Working Paper Series
University of Texas at Austin - Department of Finance and Ohio State University, Fisher College of Business
Downloads 35,845
2.

Cryptocurrencies: A Brief Thematic Review

Number of pages: 9 Posted: 25 Aug 2017
Working Paper Series
UNSW Business School
Downloads 9,851
3.

Metcalfe's Law as a Model for Bitcoin's Value

Alternative Investment Analyst Review, Q2 2018, Vol. 7, No. 2, 9-18.
Number of pages: 21 Posted: 02 Dec 2017 Last Revised: 03 Oct 2019
Accepted Paper Series
Cane Island Alternative Advisors
Downloads 4,527
4.

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Chicago Booth Research Paper No. 13-77
Number of pages: 56 Posted: 08 Sep 2013 Last Revised: 19 May 2015
Working Paper Series
University of Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 2 versions of this paper

Downloads 3,133
5.

Lognormal vs Normal Volatilities and Sensitivities in Practice

Number of pages: 20 Posted: 08 Nov 2015 Last Revised: 20 Mar 2016
Working Paper Series
Independent, Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, Independent and Independent
Downloads 3,131
6.

Tokenomics: Dynamic Adoption and Valuation

Becker Friedman Institute for Research in Economics Working Paper No. 2018-49, Fisher College of Business Working Paper No. 2018-03-015, Charles A. Dice Center Working Paper No. 2018-15, Columbia Business School Research Paper No. 18-62
Number of pages: 44 Posted: 30 Jul 2018 Last Revised: 22 May 2019
Working Paper Series
Cornell University, Ohio State University and Columbia University
Downloads 2,972
7.

Is Bitcoin a Real Currency? An Economic Appraisal

Number of pages: 23 Posted: 02 Dec 2013 Last Revised: 02 Nov 2014
Working Paper Series
New York University (NYU) - Stern School of Business
Downloads 2,727
8.

Trading and Arbitrage in Cryptocurrency Markets

Number of pages: 56 Posted: 21 May 2018 Last Revised: 12 Jul 2019
Working Paper Series
London School of Economics & Political Science (LSE) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,086
9.

The Term Structure of Currency Carry Trade Risk Premia

Number of pages: 113 Posted: 16 Oct 2013 Last Revised: 03 Nov 2018
Working Paper Series
Stanford Graduate School of Business, University of Washington and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,002
10.

Cryptocurrencies As an Asset Class? An Empirical Assessment

Number of pages: 30 Posted: 30 Nov 2017 Last Revised: 06 Sep 2019
Working Paper Series
School of Economics and Finance, Queen Mary University of London
Downloads 2,000
11.

Momentum and Trend Following Trading Strategies for Currencies Revisited - Combining Academia and Industry

Number of pages: 22 Posted: 11 Apr 2017 Last Revised: 11 Jan 2019
Working Paper Series
Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 1,989
12.

Currency Hedging and Corporate Governance: A Cross-Country Analysis

FEDS Discussion Paper No. 858, Indiana University Working Paper
Number of pages: 47 Posted: 28 May 2003 Last Revised: 25 Aug 2015
Working Paper Series
University of Georgia - Department of Banking and Finance
Downloads 1,881
13.

Volatility Risk Premia and Exchange Rate Predictability

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71 Posted: 16 Mar 2013 Last Revised: 01 Jun 2015
Accepted Paper Series
Imperial College Business School, Imperial College London and University of Cambridge - Judge Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,801
14.

The Topology of Macro Financial Flows: An Application of Stochastic Flow Diagrams

Algorithmic Finance 2014, 3:1-2, 43-85
Number of pages: 44 Posted: 16 Jan 2014 Last Revised: 27 May 2014
Accepted Paper Series
Clemson University and Cornell University - Operations Research & Industrial Engineering
Downloads 1,743
15.

Optimal Order Placement in Limit Order Markets

Number of pages: 39 Posted: 02 Oct 2012 Last Revised: 23 Nov 2014
Working Paper Series
University of Oxford and AQR Capital Management, LLC
Downloads 1,701
16.

Good Carry, Bad Carry

Columbia Business School Research Paper No. 15-53
Number of pages: 88 Posted: 30 Apr 2015 Last Revised: 06 Mar 2018
Working Paper Series
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)

Multiple version iconThere are 4 versions of this paper

Downloads 1,630
17.

Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero

Journal of Economics and Financial Analysis, 2(2), 1-27
Number of pages: 27 Posted: 26 Feb 2018 Last Revised: 13 Mar 2018
Accepted Paper Series
London School of Commerce
Downloads 1,590
18.

The Regulation of Cryptocurrencies - Between a Currency and a Financial Product

Hebrew University of Jerusalem Legal Research Paper No. 18-10
Number of pages: 39 Posted: 13 Feb 2018 Last Revised: 25 Jun 2019
Working Paper Series
Tel Aviv University - Cegla Center for Interdisciplinary Research of the Law
Downloads 1,524
19.

Exchange Rates and Sovereign Risk

Number of pages: 85 Posted: 15 Nov 2013 Last Revised: 10 Aug 2018
Working Paper Series
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1,430
20.

Intraday Forex Trading Based on Sentiment Inflection Points

Number of pages: 19 Posted: 12 Jan 2013
Working Paper Series
RavenPack and RavenPack
Downloads 1,425
21.

Foreign Exchange Market Mechanism

Number of pages: 44 Posted: 19 Aug 2009
Working Paper Series
affiliation not provided to SSRN
Downloads 1,403
22.

FX Options in Target Zone

Quantitative Finance 17(10) (2017) 1477-1486, Featured Article
Number of pages: 25 Posted: 06 Dec 2015 Last Revised: 16 Sep 2017
Accepted Paper Series
New York University Finance and Risk Engineering and Quantigic Solutions LLC
Downloads 1,373
23.

Currency Premia and Global Imbalances

Winner of the Kepos Capital Award for the Best Paper on Investments at the 2013 WFA Meeting, 28th Australasian Finance and Banking Conference
Number of pages: 72 Posted: 20 Jun 2013 Last Revised: 18 Oct 2017
Working Paper Series
Imperial College Business School, University of Melbourne and University of Cambridge - Judge Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,261
24.

Forward and Spot Exchange Rates in a Multi-Currency World

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-02
Number of pages: 75 Posted: 02 Jun 2013 Last Revised: 03 Feb 2017
Working Paper Series
Boston University and International Monetary Fund

Multiple version iconThere are 3 versions of this paper

Downloads 1,240
25.

High-Frequency Jump Analysis of the Bitcoin Market

Swiss Finance Institute Research Paper No. 17-19
Number of pages: 30 Posted: 10 Jun 2017 Last Revised: 26 Jun 2017
Working Paper Series
University of Geneva GSEM and GFRI, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,170
26.

Currency Factors

Columbia Business School Research Paper No. 17-88
Number of pages: 58 Posted: 23 Aug 2017 Last Revised: 08 Feb 2019
Working Paper Series
Neoma Business School and Columbia Business School - Finance and Economics

Multiple version iconThere are 3 versions of this paper

Downloads 1,144
27.

Currency Value

Number of pages: 58 Posted: 06 Sep 2014 Last Revised: 27 Jun 2015
Working Paper Series
German Institute for Economic Research (DIW Berlin), University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 2 versions of this paper

Downloads 1,112
28.

Factor Timing

Number of pages: 79 Posted: 05 Apr 2017 Last Revised: 31 Dec 2019
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Maryland - Robert H. Smith School of Business and University of Colorado at Boulder - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,106
29.

Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks

Number of pages: 49 Posted: 23 Jan 2017
Working Paper Series
University of Economics, Prague - Faculty of Finance and Accounting
Downloads 1,087
30.

Foreign Exchange Volume

Number of pages: 66 Posted: 23 Aug 2017 Last Revised: 18 Apr 2019
Working Paper Series
University of Melbourne - Department of Finance, University of Melbourne and University of Cambridge - Judge Business School
Downloads 1,069
31.

Exchange Rates and Monetary Policy Uncertainty

Journal of Finance, Forthcoming, Columbia Business School Research Paper No. 16-3
Number of pages: 42 Posted: 20 Dec 2015 Last Revised: 11 Dec 2016
Accepted Paper Series
Warwick Business School Finance Group, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 1,066
32.

Beta'em Up: What is Market Beta in FX?

Number of pages: 15 Posted: 23 May 2014
Working Paper Series
Cuemacro
Downloads 1,053
33.

Optimal Factor Strategy in FX Markets

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 77 Posted: 20 Jun 2016 Last Revised: 24 Sep 2018
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Pamplin College of Business - Virginia Tech
Downloads 1,048
34.

Carry and Trend Following Returns in the Foreign Exchange Market

Number of pages: 32 Posted: 22 Jul 2015
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Downloads 982
35.

Modelling Crypto-Currencies Financial Time-Series

Number of pages: 40 Posted: 01 Sep 2017 Last Revised: 28 Oct 2019
Working Paper Series
Aarhus University - School of Business and Social Sciences and University of Rome, Tor Vergata, Faculty of Economics, Department of Economics, Law and Institutions

Multiple version iconThere are 2 versions of this paper

Downloads 974
36.

Bitcoin Reveals Exchange Rate Manipulation and Detects Capital Controls

Number of pages: 40 Posted: 14 Jan 2016 Last Revised: 05 Aug 2017
Working Paper Series
University of Chicago - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 973
37.

Information Intermediaries in the Crypto-Tokens Market

Number of pages: 56 Posted: 09 Jun 2018 Last Revised: 24 May 2019
Working Paper Series
Columbia Business School - Accounting, Business Law & Taxation, University of Miami, University of Utah - David Eccles School of Business and University of Utah - David Eccles School of Business
Downloads 967
38.

Volatility and the Carry Trade

Journal of Fixed Income, Winter 2007
Number of pages: 27 Posted: 05 Nov 2007
Accepted Paper Series
LongTail Alpha, LLC
Downloads 960
39.

Understanding FX Liquidity

Forthcoming in The Review of Financial Studies, University of St.Gallen, School of Finance Research Paper No. 2013/15
Number of pages: 49 Posted: 24 Sep 2013 Last Revised: 09 Jun 2015
Accepted Paper Series
Ohio State University; Fisher College of Business - Department of Finance, University of St. Gallen and University of St. Gallen
Downloads 940
40.

Bitcoin Market Microstructure

Number of pages: 25 Posted: 11 Apr 2017
Working Paper Series
University of Tuebingen - Department of Statistics and Econometrics
Downloads 935
41.

Excess Volatility as an Impediment for a Digital Currency

Number of pages: 40 Posted: 11 Apr 2017 Last Revised: 04 May 2018
Working Paper Series
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 934
42.

Technical Trading: Is it Still Beating the Foreign Exchange Market?

Journal of International Economics, Forthcoming
Number of pages: 54 Posted: 18 Apr 2016
Accepted Paper Series
National Tsing Hua University - Department of Quantitative Finance, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 931
43.

Foreign Exchange Markets with Last Look

Mathematics and Financial Economics, Forthcoming
Number of pages: 40 Posted: 15 Jul 2015 Last Revised: 01 May 2018
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University College London - Department of Mathematics
Downloads 929
44.

Cross Currency Swap Theory & Practice - An Illustrated Step-by-Step Guide of How to Price Cross Currency Swaps and Calculate the Basis Spread

Number of pages: 26 Posted: 12 Nov 2018 Last Revised: 28 Mar 2019
Working Paper Series
University of Oxford, Said Business School
Downloads 888
45.

A Statistical Analysis of Cryptocurrencies

Number of pages: 30 Posted: 08 Apr 2017 Last Revised: 25 Dec 2018
Working Paper Series
Zurich University of Applied Sciences, University of Manchester - School of Mathematics, University of Manchester - School of Mathematics and University of Manchester
Downloads 869
46.

Forecasting Exchange Rates: An Investor Perspective

CESifo Working Paper Series No. 4238
Number of pages: 40 Posted: 22 May 2013
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads 869
47.

How Do Investors and Firms React to a Large Unexpected Currency Appreciation Shock?

Swiss Finance Institute Research Paper No. 15-65
Number of pages: 53 Posted: 01 Jan 2016 Last Revised: 13 Jan 2020
Working Paper Series
HEC Paris - Finance Department, Ecole Polytechnique Fédérale de Lausanne, Emory University - Goizueta Business School and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 857
48.

Foreign Exchange Rate Volatility of Indian Rupee/ US Dollar

XI Capital Markets Conference, 21-22 December 2012, Indian Institute of Capital Markets (UTIICM)
Number of pages: 13 Posted: 02 May 2013
Working Paper Series
Pondicherry University - Department of Commerce and Pondicherry University - Department of Commerce
Downloads 840
49.

Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets

Number of pages: 37 Posted: 16 Nov 2017
Working Paper Series
Dublin City University, Dublin City University Business School, Institute for Policy Research (IPR), University of Bath, Trinity Business School, Trinity College Dublin and affiliation not provided to SSRN
Downloads 839
50.

Covered Interest Parity Arbitrage

Number of pages: 93 Posted: 05 Dec 2016 Last Revised: 16 Mar 2019
Working Paper Series
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank

Multiple version iconThere are 4 versions of this paper

Downloads 811