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Financial Markets’ Views about the Euro-Swiss Franc Floor
12 references·3 citing·36 second hop
Financial Markets’ Views about the Euro-Swiss Franc Floor (2016)Financial Markets’ Views about the Euro-S…Where Would the EUR/CHF Exchange Rate Be Without the SNB's Minimum Exchange Rate Policy? (2013)Where Would the EUR/CHF Excha…Common Risk Factors in Currency Markets (2008)Common Risk Factors in Curren…Are Asset Price Guarantees Useful for Preventing Sudden Stops? A Quantitative Investigation of the Globalization Hazard-Moral Hazard Tradeoff (2005)Are Asset Price Guarantees Us…Market Expectations in the UK Before and After the ERM Crisis (2000)Market Expectations in the UK…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)The Forward Discount Anomaly …Arbitrage-Based Tests of Target Zone Credibility: Evidence from ERM Cross-Rate Options (1995)Arbitrage-Based Tests of Targ…Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models (1993)Stochastic Devaluation Risk a…Realignment Risk and Currency Option Pricing in Target Zones (1993)Realignment Risk and Currency…Target Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…Target Zones and Realignments (1990)Target Zones and RealignmentsRecursive Methods in Economic Dynamics (1990)Recursive Methods in Economic…Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes (2019)Revisiting the weak-form effi…On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective (2017)On the Credibility of the Eur…Swiss franc's one-sided target zone during 2011–2015 (2016)Swiss franc's one-sided targe…Option pricing when underlying stock returns are discontinuous (1976)The valuation of compound options (1979)Dynamic Asset Pricing Theory. (1993)Foreign Exchange Hedging and the Interest Rate Defense (1995)Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman-Kohlhagen model (1997)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era (2005)The Returns to Currency Speculation (2006)The Continuing Puzzle of Short Horizon Exchange Rate Forecasting (2008)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)The valuation of options for alternative stochastic processes (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Density Forecasting: A Survey (2000)Estimating option implied risk‐neutral densities using spline and hypergeometric functions (2007)Terrorism and Stock Market Sentiment (2010)Are currency crises self-fulfilling? (1997)The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)An Interpretation of Recent Research on Exchange Rate Target Zones (1992)Implied exchange rate distributions: evidence from OTC option markets (1998)An options-based analysis of emerging market exchange rate expectations: Brazil's Real Plan, 1994–1999 (2002)Redenomination Risk (2018)The Two-Pillar Policy for the RMB (2019)No Single Currency Regime is Right for All Countries or At All Times (1999)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)Equilibrium models displaying endogenous fluctuations and chaos (1990)Does Human Capital Matter for Growth in OECD Countries? (2001)An Efficient Dynamic Mechanism (2013)Carry Trades and Risk (2011)Global Asset Pricing (2011)Common Risk Factors in Cryptocurrency (2019)
this work references cited by second hop

References

  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1990Recursive Methods in Economic Dynamics328 cited
  • 1995The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence315 cited
  • 1990Target Zones and Realignments297 cited
  • 1993Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models269 cited
  • 2008Common Risk Factors in Currency Markets119 cited
  • 2000Market Expectations in the UK Before and After the ERM Crisis57 cited
  • 1995Arbitrage-Based Tests of Target Zone Credibility: Evidence from ERM Cross-Rate Options56 cited
  • 1993Realignment Risk and Currency Option Pricing in Target Zones42 cited
  • 2005Are Asset Price Guarantees Useful for Preventing Sudden Stops? A Quantitative Investigation of the Globalization Hazard-Moral Hazard Tradeoff42 cited
  • 2013Where Would the EUR/CHF Exchange Rate Be Without the SNB's Minimum Exchange Rate Policy?30 cited

Cited by

  • 2019Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes32 cited
  • 2017On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective31 cited

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  • 2016Swiss franc's one-sided target zone during 2011–201529 cited