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Econometric Modeling: International Financial Markets - Foreign Exchange eJournal

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Viewing: 1 - 50 of 957 papers

1.

Cryptocurrencies: A Brief Thematic Review

Number of pages: 9 Posted: 25 Aug 2017
Working Paper Series
University of New South Wales (UNSW), UNSW Business School
Downloads 3,413
2.

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 Chicago - Booth School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 2 versions of this paper

Downloads 2,620
3.

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

Number of pages: 21 Posted: 02 Dec 2017 Last Revised: 04 Feb 2018
Working Paper Series
Cane Island Alternative Advisors
Downloads 2,458
4.

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 2,197
5.

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 1,759
6.

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 - Department of Mathematics, Independent and Independent
Downloads 1,641
7.

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 London, Imperial College London and City University London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,584
8.

Optimal Order Placement in Limit Order Markets

Number of pages: 39 Posted: 02 Oct 2012 Last Revised: 23 Nov 2014
Working Paper Series
Imperial College London and AQR Capital Management, LLC
Downloads 1,573
9.

The Term Structure of Currency Carry Trade Risk Premia

Number of pages: 88 Posted: 16 Oct 2013 Last Revised: 24 Jan 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 1,525
10.

Good Carry, Bad Carry

Columbia Business School Research Paper No. 15-53
Number of pages: 64 Posted: 30 Apr 2015 Last Revised: 15 Oct 2017
Working Paper Series
Columbia Business School - Finance and Economics and Hong Kong University of Science & Technology (HKUST)
Downloads 1,352
11.

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 Lawrence Berkeley National Laboratory
Downloads 1,215
12.

Intraday Forex Trading Based on Sentiment Inflection Points

Number of pages: 19 Posted: 12 Jan 2013
Working Paper Series
RavenPack and RavenPack
Downloads 1,114
13.

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
University of Chicago - Booth School of Business and International Monetary Fund

Multiple version iconThere are 3 versions of this paper

Downloads 1,093
14.

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 London, University of Melbourne and City University London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,089
15.

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 1,070
16.

Exchange Rates and Sovereign Risk

Number of pages: 82 Posted: 15 Nov 2013 Last Revised: 16 Oct 2016
Working Paper Series
Imperial College London, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Copenhagen Business School
Downloads 1,033
17.

Foreign Exchange Market Mechanism

Number of pages: 44 Posted: 19 Aug 2009
Working Paper Series
affiliation not provided to SSRN
Downloads 1,004
18.

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, Northwestern University - Kellogg School of Management and Boston University - Department of Finance & Economics
Downloads 938
19.

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

Number of pages: 22 Posted: 11 Apr 2017 Last Revised: 07 Jun 2017
Working Paper Series
Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 917
20.

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 879
21.

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 847
22.

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), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 2 versions of this paper

Downloads 824
23.

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
University of Saint Gallen, SoF: School of Finance, University of St. Gallen and University of St. Gallen
Downloads 818
24.

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
University of Hong Kong, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 796
25.

Currency Value

Number of pages: 58 Posted: 22 Jun 2013 Last Revised: 27 Jun 2015
Working Paper Series
German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 2 versions of this paper

Downloads 754
26.

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: 96 Posted: 20 Jun 2016 Last Revised: 07 Dec 2017
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Washington University in Saint Louis - John M. Olin Business School
Downloads 750
27.

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

Number of pages: 15 Posted: 23 May 2014
Working Paper Series
Cuemacro
Downloads 744
28.

CAPE Around the World Update 2015 – Return Differences and Exchange Rate Movements

Number of pages: 16 Posted: 05 Jul 2015
Working Paper Series
Credit Suisse
Downloads 735
29.

Foreign Exchange Markets with Last Look

Number of pages: 40 Posted: 15 Jul 2015 Last Revised: 22 Sep 2017
Working Paper Series
University of Oxford, University of Toronto - Department of Statistics and University College London - Department of Mathematics
Downloads 719
30.

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 695
31.

The Impact of Hedge Funds on Asset Markets

Number of pages: 60 Posted: 27 Jun 2013 Last Revised: 09 Mar 2016
Working Paper Series
Board of Governors of the Federal Reserve System, Duke University - Department of Economics and Imperial College London

Multiple version iconThere are 2 versions of this paper

Downloads 679
32.

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

Swiss Finance Institute Research Paper No. 15-65
Number of pages: 51 Posted: 01 Jan 2016 Last Revised: 13 Sep 2016
Working Paper Series
HEC Paris - Finance Department, Ecole Polytechnique Fédérale de Lausanne, Emory University - Goizueta Business School and University of Geneva
Downloads 678
33.

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 675
34.

Predicting Relative Returns

Number of pages: 65 Posted: 05 Apr 2017 Last Revised: 25 Oct 2017
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Michigan, Stephen M. Ross School of Business and University of Maryland - R.H. Smith School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 653
35.

Option-Implied Currency Risk Premia

Number of pages: 79 Posted: 13 Oct 2013 Last Revised: 17 Oct 2014
Working Paper Series
University of Pennsylvania - Finance Department and AQR Capital Management, LLC
Downloads 645
36.

Developing High-Frequency Foreign Exchange Trading Systems

25th Australasian Finance and Banking Conference 2012
Number of pages: 6 Posted: 20 Aug 2012
Working Paper Series
Bond University, Bond University and Bond University
Downloads 632
37.

Realized Bitcoin Volatility

Number of pages: 26 Posted: 11 Apr 2017
Working Paper Series
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 627
38.

Forex Trading and the WMR Fix

Number of pages: 81 Posted: 31 Aug 2014 Last Revised: 25 Sep 2017
Working Paper Series
Georgetown University - Department of Economics
Downloads 611
39.

Segmented Money Markets and Covered Interest Parity Arbitrage

Number of pages: 77 Posted: 05 Dec 2016 Last Revised: 11 Sep 2017
Working Paper Series
BI Norwegian Business School, Bank for International Settlements (BIS) - Monetary and Economic Department and Norges Bank

Multiple version iconThere are 3 versions of this paper

Downloads 600
40.

A Statistical Analysis of Cryptocurrencies

Number of pages: 30 Posted: 08 Apr 2017
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 589
41.

Currency Factors

Columbia Business School Research Paper No. 17-88
Number of pages: 52 Posted: 23 Aug 2017
Working Paper Series
Neoma Business School and Columbia Business School - Finance and Economics
Downloads 569
42.

Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures

Number of pages: 65 Posted: 26 Nov 2014 Last Revised: 04 Sep 2017
Working Paper Series
University of Louisville - College of Business - Department of Economics, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 564
43.

What Do Stock Markets Tell Us About Exchange Rates?

Number of pages: 75 Posted: 19 Jul 2014 Last Revised: 04 Jul 2015
Working Paper Series
Bank of England, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)

Multiple version iconThere are 3 versions of this paper

Downloads 545
44.

Where Would the EUR/CHF Exchange Rate Be Without the SNB's Minimum Exchange Rate Policy?

Journal of Futures Markets Vol. 35 No. 12 (2015), 1103-1116.
Number of pages: 20 Posted: 17 Dec 2013 Last Revised: 03 Dec 2016
Accepted Paper Series
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen
Downloads 542
45.

Evolution of Bitcoin - Volatility Comparisons with Least Developed Countries’ Currencies

Number of pages: 22 Posted: 13 Oct 2017
Working Paper Series
Independent
Downloads 534
46.

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 514
47.

Bitcoin Market Microstructure

Number of pages: 25 Posted: 11 Apr 2017
Working Paper Series
University of Tuebingen - Department of Statistics and Econometrics
Downloads 513
48.

The Illusion of Scale in Segregated Witness

Number of pages: 9 Posted: 28 Jun 2017
Working Paper Series
nChain
Downloads 509
49.

Currency Risk Factors in a Recursive Multi-Country Economy

Journal of Finance, Forthcoming, Simon Business School Working Paper No. FR 15-10, INSEAD Working Paper No. 2015/40/FIN
Number of pages: 77 Posted: 24 Dec 2014 Last Revised: 05 Dec 2017
Working Paper Series
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, INSEAD and University of Rochester - Simon Business School
Downloads 506
50.

When Do Insiders Trade? Opportunistic versus Strategic Behaviour

Number of pages: 34 Posted: 01 Sep 2015 Last Revised: 08 May 2016
Working Paper Series
Universiti Utara Malaysia, University of Ljubljana - Faculty of Economics and Central European University
Downloads 488