Swiss Institute of Banking and Finance s/bf-HSG
Unterer Graben 21
St. Gallen, 9000
University of St. Gallen
University of St. Gallen - School of Finance
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Foreign Exchange Market, Liquidity, Commonality in Liquidity, Liquidity Spiral, Liquidity Risk Premium, Carry Trade
Hedge funds, CAPM, higher moments, skewness, kurtosis, required rate of return
carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas
carry trades, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP7345.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
carry trade, factor model, smooth transition regression, time-varying betas
convertible bonds, downside risk, CAPM, higher-moment CAPM, Factor Analysis, coskewness, efficient portfolio with convertible bonds
foreign exchange market; microstructure, behavioural finance, time-of-day patterns, market segmentation, calendar effects, inventory, asymmetric information, high-frequency data
index performance, active / passive investment management, momentum strategies, index constituents; selection and rebalancing rules; performance measurement; "buy-and-hold" strategy
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: eufm.
limits to arbitrage, covered interest parity, funding liquidity, financial crisis, slow moving capital, market freeze, unconventional monetary policy.
arrival of public information, intraday trading, transaction cost components, order flow, disclosure impact
Firm-specific news, public information arrivals, market microstructure, transaction cost components, price formation model, high frequency data, Paris Bourse
limit order book; limit orders; microstructure; order aggressiveness
Repurchase agreements, money market structure, central counterparty, short-term debt, financial crisis, unconventional monetary policy
exchange rates, high-frequency data, crisis episodes, non-linear effects
File name: DP7249.
crisis episodes, high-frequency data, non-linear effects
exchange rates, liquidity, transaction costs, commonality, low-frequency
Foreign exchange, Microstructure, Order flow, Liquidity
foreign exchange rates, high-frequency data, crisis episodes, non-linear effects
Bond-stock correlation, Macroeconomic announcements, Realized correlation, Realized volatility
Monetary policy, Expectations, Long-term interest rates, Stock prices, Inflation, Real interest rate, Dividends, Economic shocks, Fed's private information
high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis
realized volatility, forecasting, Value-at-Risk, Wishart
financial architecture, resilience, financial crisis, banking crisis, economic crisis, new economic thinking
precious metals, high-frequency data, liquidity, commonality in liquidity, intradaily periodicity
foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade
Trading volume, FOMC, Global linkages
File name: DP6753.
FOMC, Global linkages, Trading volume
Financial market integration, Comovement, Emerging markets, EU enlargement, EU Member States, Extreme returns, New EU Member States, Stock markets
Repurchase agreements, repo market, central counterparty, short-term debt, liquidity hoarding, financial crisis, unconventional monetary policy
Risk spillover, portfolio risk, currency risk, variance forecasting, international portfolio, Wishart distribution
Realized covariance, WAR, HAR, multivariate volatility forecasts
implementation of monetary policy, Libor, repo, Swiss franc money market, regime switching model
Expectations hypothesis, interest rates, risk premium, monetary policy, repo
Money markets, bank funding, short-term debt, financial crisis, counterparty risk, liquidity
Market liquidity, Transaction cost, Effective spread, TAQ data, Asset pricing
Government Bonds, Treasury Auctions, Uniform-price Auction
Central bank communication; Interviews; Speeches; Asset Markets; High-frequency data
Money markets, unsecured and secured funding, liquidity spirals, monetary policy, regulation
Hedge Funds, Higher Moments, Skewness, Kurtosis, Coskewness, and Cokurtosis
Limit order book, limit orders, microstructure, order aggressiveness, probit model
transaction cost, bid-ask spread components, Swiss Stock Exchange
intraday market liquidity, liquidity proxies, Swiss Stock Exchange, volume concentration
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