Technical trading and the volatility of exchange rates

DOI10.1080/14697680400008650zbMath1405.91424OpenAlexW3122746345MaRDI QIDQ4610247

Bernhard Herz, Christian W. Bauer

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680400008650

zbMATH Keywords

exchange rate volatilitytechnical trading

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• ARCH modeling in finance. A review of the theory and empirical evidence
• Market Volatility and Feedback Effects from Dynamic Hedging
• On Feedback Effects from Hedging Derivatives
• Simultaneous bootstrap confidence bands in nonparametric regression
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• Noise Trading and Exchange Rate Regimes
• Modeling and Forecasting Realized Volatility

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