Ingomar Krohn

Bank of Canada

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

SCHOLARLY PAPERS

4

DOWNLOADS

679

SSRN CITATIONS

9

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Foreign Exchange Fixings and Returns Around the Clock

Number of pages: 52 Posted: 11 Feb 2020 Last Revised: 24 May 2021
Ingomar Krohn, Philippe Mueller and Paul Whelan
Bank of Canada, Warwick Business School Finance Group and Copenhagen Business School
Downloads 232 (160,680)

Abstract:

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foreign-exchange, fixings, high-frequency returns, intermediation.

2.
Downloads 230 (162,039)
Citation 5

FX Spot and Swap Market Liquidity Spillovers

BIS Working Paper No. 836, WBS Finance Group Research Paper No. 243
Number of pages: 65 Posted: 28 Dec 2017 Last Revised: 16 Jan 2020
Ingomar Krohn and Vladyslav Sushko
Bank of Canada and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 187 (196,346)
Citation 3

Abstract:

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Foreign Exchange, Market liquidity, Funding liquidity, Microstructure, Dealer activity, Window dressing

FX Spot and Swap Market Liquidity Spillovers

BIS Working Paper No. 836
Number of pages: 65 Posted: 12 Feb 2020
Ingomar Krohn and Vladyslav Sushko
Bank of Canada and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 43 (504,136)
Citation 2

Abstract:

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foreign exchange, market and funding liquidity, microstructure, dealer activity, window dressing

3.

Performance, Persistence, and Pay: A New Perspective on CTAs

WBS Finance Group Research Paper No. 238
Number of pages: 44 Posted: 23 May 2017
Bank of Canada, RPM Risk & Portfolio Management AB, University of Warwick - Warwick Business School and Lancaster University - Department of Accounting and Finance
Downloads 143 (246,363)
Citation 1

Abstract:

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Commodity Trading Advisors, Alternative Investments, Information and Market Efficiency, Managerial Skill, Performance

4.

Dealer Information and Macro Fundamentals - New Evidence from Hybrid Exchange Rate Models

WBS Finance Group Research Paper No. 263
Number of pages: 49 Posted: 31 Jan 2019
Ingomar Krohn and Michael Moore
Bank of Canada and University of Warwick - Warwick Business School
Downloads 74 (383,307)
Citation 1

Abstract:

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exchange rates, Taylor rule, order flow, microstructure