Investigating the JPY/DEM-rate: arbitrage opportunities and a case for asymmetry

Author:

Herwartz Helmut

Publisher

Elsevier BV

Subject

Business and International Management

Reference18 articles.

1. Testing for Market Timing Ability – A Framework for Forecast Evaluation;Cumby;Journal of Financial Economics,1987

2. A Geographical Model for the Daily and Weekly Seasonal Volatility in the Foreign Exchange Market;Dacorogna;Journal of International Money and Finance,1993

3. The Sum of Finite Moving Average Processes;Darroch;Journal of Time Series Analysis,1986

4. Price discovery in the foreign exchange market: an empirical analysis of the jpy/dem rate;de Jong,1996

5. Co-Integration and Error Correction: Representation;Engle;Estimation and Testing. Econometrica,1987

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1. Triangular arbitrage across forex and cryptocurrency markets during the COVID-19 crisis: a MRS-AR approach;Applied Economics Letters;2021-05-26

2. Econometric analysis of high frequency data;Allgemeines Statistisches Archiv;2006-03

3. 25 years of time series forecasting;International Journal of Forecasting;2006-01

4. 25 Years of IIF Time Series Forecasting: A Selective Review;SSRN Electronic Journal;2005

5. Econometric Analysis of High Frequency Data;Modern Econometric Analysis

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