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Now showing items 1-4 of 4

  • A cyclical model of exchange rate volatility 

    Harris, Richard D. F.; Stoja, Evarist; Yilmaz, Fatih (Elsevier, 2011-12-31)
    In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and ...
  • Day-of-the-month effects in the performance of momentum trading strategies in the foreign exchange market 

    Harris, Richard D. F.; Stoja, Evarist; Yilmaz, Fatih (University of Exeter, 2008-10)
    This article documents a very strong day-of-the-month effect in the performance of momentum strategies in the foreign exchange market. It shows that this seasonality in trading strategy performance is attributable to ...
  • The limits to minimum-variance hedging 

    Harris, Richard D. F.; Shen, Jian; Stoja, Evarist (Wiley-Blackwell, 2010-06)
    In this paper, we compare the estimated minimum-variance hedge ratios from a range of conditional hedging models with the 'realized' minimum variance hedge ratio constructed using intraday data. We show that the reduction ...
  • A simplified approach to modeling the co-movement of asset returns 

    Harris, Richard D. F.; Stoja, Evarist; Tucker, Jon (2007)
    The authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the S-GARCH model), which involves the estimation of only univariate GARCH models, both for the individual ...