Michael Frömmel

Ghent University - Department of Financial Economics

Professor of Finance

Sint-Pietersplein 5

Ghent, 9000

Belgium

SCHOLARLY PAPERS

8

DOWNLOADS

583

CITATIONS

0

Scholarly Papers (8)

1.

Intraday Momentum in FX Markets: Disentangling Informed Trading from Liquidity Provision

Number of pages: 34 Posted: 25 Nov 2015
Gert Elaut, Michael Frömmel and Kevin Lampaert
Ghent University, Ghent University - Department of Financial Economics and Ghent University
Downloads 255 (119,021)

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Informed Trading, Intraday, Liquidity Demand, Momentum

2.

Understanding the Controversy of Liquidity Beta: A Natural Experiment

Number of pages: 47 Posted: 11 Dec 2014 Last Revised: 21 Nov 2015
Michael Frömmel and Xing Han
Ghent University - Department of Financial Economics and University of Otago - Department of Accountancy and Finance
Downloads 138 (207,848)

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Liquidity, Liquidity Beta, Investor Sentiment, Asset Pricing, China

3.

Modeling the Daily Electricity Price Volatility with Realized Measures

Number of pages: 22 Posted: 17 Sep 2013
Michael Frömmel, Xing Han and Stepan Kratochvil
Ghent University - Department of Financial Economics, University of Otago - Department of Accountancy and Finance and Czech Technical University in Prague - Faculty of Electrical Engineering
Downloads 86 (290,339)

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volatility forecasting, intra-day range, Realized GARCH, electricity

4.

Interest Rate Convergence in the EMS Prior to European Monetary Union

CREATES Research Paper 2009-23
Number of pages: 28 Posted: 03 Jun 2009
Michael Frömmel and Robinson Kruse
Ghent University - Department of Financial Economics and Aarhus University
Downloads 46 (399,858)

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interest rates, convergence, changing persistence, EMS, EMU

5.

What Do We Know About Real Exchange Rate Non-Linearities?

CREATES Research Paper 2009-50
Number of pages: 27 Posted: 29 Oct 2009
Aarhus University, Ghent University - Department of Financial Economics, German Institute for Economic Research (DIW Berlin) and University of Hannover
Downloads 33 (450,807)

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real exchange rates, unit root test, ESTAR, Markov Switching, PPP

6.

Daily Currency Interventions in Emerging Markets: Incorporating Reserve Accumulation to the Reaction Function

Number of pages: 52 Posted: 24 Jul 2017
Michael Frömmel and Murat Midiliç
Ghent University - Department of Financial Economics and Ghent University-Universiteit Gent - Department of Financial Economics
Downloads 25 (490,394)

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currency intervention, international reserves, emerging markets, Turkey, mixed data sampling

7.

Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors

International Review of Finance, Vol. 17, Issue 3, pp. 427-450, 2017
Number of pages: 24 Posted: 06 Sep 2017
Gert Elaut, Michael Frömmel and Alexander Mende
Ghent University, Ghent University - Department of Financial Economics and RPM Risk & Portfolio Management AB
Downloads 0 (666,172)
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8.

Crystallization - The Hidden Dimension of Hedge Funds’ Fee Structure

Financial Analysts Journal, Vol. 71, No. 4, 2015
Posted: 30 Nov 2013 Last Revised: 29 Jul 2015
Gert Elaut, Michael Frömmel and John Sjödin
Ghent University, Ghent University - Department of Financial Economics and RPM Risk & Portfolio Management AB

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Hedge fund, CTA, Incentive fee, Fee structure, Gross returns, Crystallization