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Optimal intervention in the foreign exchange market when interventions affect market dynamics
exchange rate optimal impulse control quasi-variational inequalities stopping times
2010/11/2
We address the problem of optimal Central Bank intervention in the exchange rate market when interventions create feedback in the rate dynamics. In particular, we extend the work done on optimal impul...
Model-Free Evaluation of Directional Predictability in Foreign Exchange
Characteristic function Directional predictability Generalized cross-spectrum Uncovered Interest Parity Market Intervention Currency Crisis Market Contagion
2011/4/6
We examine directional predictability in foreign exchange markets using a model-free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major ...
Model-Free Evaluation of Directional Predictability in Foreign Exchange Markets
foreign exchange markets
2011/4/2
We examine directional predictability in foreign exchange markets using a model-free statistical evaluation procedure. Based on a sample of foreign exchange spot rates and futures prices in six major ...