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Econometric Modeling: International Financial Markets - Foreign Exchange eJournal

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Viewing: 1 - 50 of 1,097 papers

1.

Is Bitcoin Really Un-Tethered?

Number of pages: 66 Posted: 25 Jun 2018
Working Paper Series
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Downloads 26,347
2.

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 6,981
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: 26 Jul 2018
Accepted Paper Series
Cane Island Alternative Advisors
Downloads 3,288
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 2,786
5.

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 2,460
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 2,251
7.

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 1,785
8.

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 1,692
9.

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 City University London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,661
10.

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 1,635
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 AQR Capital Management, LLC
Downloads 1,499
12.

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)
Downloads 1,492
13.

Cryptocurrencies As an Asset Class? An Empirical Assessment

WBS Finance Group Research Paper
Number of pages: 35 Posted: 30 Nov 2017 Last Revised: 16 Jun 2018
Working Paper Series
University of Warwick - Finance Group
Downloads 1,427
14.

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

Number of pages: 22 Posted: 11 Apr 2017 Last Revised: 30 Jul 2018
Working Paper Series
Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads 1,365
15.

Intraday Forex Trading Based on Sentiment Inflection Points

Number of pages: 19 Posted: 12 Jan 2013
Working Paper Series
RavenPack and RavenPack
Downloads 1,240
16.

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 1,210
17.

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, City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Copenhagen Business School
Downloads 1,172
18.

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 City University London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,168
19.

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 1,167
20.

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

Hebrew University of Jerusalem Legal Research Paper No. 18-10
Number of pages: 30 Posted: 13 Feb 2018 Last Revised: 21 Mar 2018
Working Paper Series
Hebrew University of Jerusalem - Faculty of Law
Downloads 1,157
21.

Foreign Exchange Market Mechanism

Number of pages: 44 Posted: 19 Aug 2009
Working Paper Series
affiliation not provided to SSRN
Downloads 1,106
22.

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 1,058
23.

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 1,012
24.

Trading and Arbitrage in Cryptocurrency Markets

Number of pages: 45 Posted: 21 May 2018
Working Paper Series
London School of Economics & Political Science (LSE) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 960
25.

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, 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 949
26.

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 939
27.

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 905
28.

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

Number of pages: 15 Posted: 23 May 2014
Working Paper Series
Cuemacro
Downloads 897
29.

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 885
30.

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 Washington University in Saint Louis - John M. Olin Business School
Downloads 878
31.

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 870
32.

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 856
33.

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 837
34.

Currency Factors

Columbia Business School Research Paper No. 17-88
Number of pages: 58 Posted: 23 Aug 2017 Last Revised: 14 Nov 2018
Working Paper Series
Neoma Business School and Columbia Business School - Finance and Economics
Downloads 829
35.

Bitcoin Market Microstructure

Number of pages: 25 Posted: 11 Apr 2017
Working Paper Series
University of Tuebingen - Department of Statistics and Econometrics
Downloads 796
36.

Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets

Number of pages: 37 Posted: 16 Nov 2017
Working Paper Series
Dublin City University Business School, Dublin City University Business School, Trinity College Dublin, Trinity Business School, Trinity College Dublin and Anglia Ruskin University - Lord Ashcroft International Business School
Downloads 775
37.

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 772
38.

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 772
39.

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, 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 767
40.

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

Swiss Finance Institute Research Paper No. 15-65
Number of pages: 54 Posted: 01 Jan 2016 Last Revised: 24 Aug 2018
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 757
41.

Modelling Crypto-Currencies Financial Time-Series

Number of pages: 38 Posted: 01 Sep 2017 Last Revised: 20 Dec 2017
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 756
42.

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

Number of pages: 16 Posted: 05 Jul 2015
Working Paper Series
Fidante Partners
Downloads 752
43.

Volume and Excess Returns in Foreign Exchange

Number of pages: 65 Posted: 23 Aug 2017 Last Revised: 08 Nov 2018
Working Paper Series
University of Melbourne - Department of Finance, University of Melbourne and City University London - Sir John Cass Business School
Downloads 745
44.

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 736
45.

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 733
46.

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

Number of pages: 22 Posted: 13 Oct 2017
Working Paper Series
Independent
Downloads 724
47.

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 720
48.

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 692
49.

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 686
50.

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 673