A significantly revised version of the paper “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums” is available on SSRN. We have vastly extended the analysis and the dataset now covers the period from January 2007-December 2009.
I finalized a new paper titled “The Joint Dynamics of Hedge Fund Returns, Illiquidity, and Volatility”. The paper modeld the joint dynamics of hedge fund returns and volatility as well as illiquidity in the equity and the foreign exchange (FX) market. The results show that hedge funds tend to profit from periods of low equity […]
The latest Swiss Finance Institute Newsletter reports on the Outstanding Paper in International Finance award that we won at the 46th Eastern Finance Association Annual Meeting: SFI Newsletter September 2010
The paper entitled “Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums”, with Loriano Mancini and Angelo Ranaldo received the “Outstanding International Finance Paper” award at the 46th Annual Meeting of the Eastern Finance Association in Las Vegars, USA. Announcement on SSRN Website of the Eastern Finance Association