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Safe Haven Currencies
16 references·0 citing·42 second hopsampled
Safe Haven Currencies (2007)Safe Haven CurrenciesCarry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…An Empirical Analysis of Stock and Bond Market Liquidity (2004)An Empirical Analysis of Stoc…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Understanding Risk and Return (1993)Understanding Risk and ReturnIntertemporal Asset Pricing Without Consumption Data (1992)Intertemporal Asset Pricing W…Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The arbitrage theory of capital asset pricing (1976)Macroeconomics and Reality (1980)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)… and the Cross-Section of Expected Returns (2015)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The Cross-Section of Expected Stock Returns (1992)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Empirical exchange rate models of the seventies (1983)ARCH modeling in finance (1992)Discretion versus policy rules in practice (1993)Real-time price discovery in global stock, bond and foreign exchange markets (2007)High-Frequency Trading and Price Discovery (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)
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References

  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1993Understanding Risk and Return1,797 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 1992Intertemporal Asset Pricing Without Consumption Data954 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited

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  • 2004An Empirical Analysis of Stock and Bond Market Liquidity900 cited
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