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Details about Michael Frömmel

E-mail:
Homepage:https://users.ugent.be/~mfrommel/CV%20Froemmel.pdf
Postal address:Department of Economics Ghent University Sint Pietersplein 5 9000 Gent, BELGIUM
Workplace:Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business Administration), Universiteit Gent (University of Ghent), (more information at EDIRC)

Access statistics for papers by Michael Frömmel.

Last updated 2022-12-07. Update your information in the RePEc Author Service.

Short-id: pfr29


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Working Papers

2021

  1. Non-Standard Errors
    Working Papers, Faculty of Economics and Statistics, University of Innsbruck Downloads View citations (1)
    Also in Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2021) Downloads
    Post-Print, HAL (2021) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021) Downloads

2016

  1. Daily Currency Interventions in Emerging Markets: Incorporating Reserve Accumulation
    Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences Downloads View citations (1)

2014

  1. Are exporting firms always a good hedge against currency risk? Evidence from Central and Eastern European Countries
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads
  2. Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads
  3. Crystallization – the Hidden Dimension of Hedge Funds' Fee Structure
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads

2013

  1. FDI, Terrorism and the Availability Heuristic for U.S. Investors before and after 9/11
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2013) Downloads
  2. News, Liquidity Dynamics and Intraday Jumps: Evidence from the HUF/EUR market
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads View citations (1)

2011

  1. Spread Components in the Hungarian Forint-Euro Market
    2011 Meeting Papers, Society for Economic Dynamics Downloads View citations (2)
    Also in Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2011) Downloads View citations (2)

    See also Journal Article in Emerging Markets Finance and Trade (2012)
  2. Testing for a rational bubble under long memory
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads View citations (3)
    See also Journal Article in Quantitative Finance (2012)

2010

  1. What do we know about real exchange rate nonlinearities?
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (3)

    See also Journal Article in Empirical Economics (2012)

2009

  1. Interest rate convergence in the EMS prior to European Monetary Union
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (8)
    Also in Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2009) Downloads View citations (8)

    See also Journal Article in Journal of Policy Modeling (2015)
  2. Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
    MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary) Downloads
    Also in Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2009) Downloads

    See also Journal Article in International Journal of Finance & Economics (2011)
  3. Monetary Policy Rules in Central and Eastern European Countries: Does the Exchange Rate Matter?
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads View citations (4)
    See also Journal Article in Journal of Macroeconomics (2011)

2007

  1. Order Flows, News, and Exchange Rate Volatility
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads
    See also Journal Article in Journal of International Money and Finance (2008)
  2. Volatility Regimes in Central and Eastern European Countries’ Exchange Rates
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2006) Downloads

    See also Journal Article in Czech Journal of Economics and Finance (Finance a uver) (2010)

2006

  1. Bank Lending and Asset Prices in the Euro Area
    RWI Discussion Papers, RWI - Leibniz-Institut für Wirtschaftsforschung Downloads View citations (5)
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2006) Downloads View citations (5)
  2. Monetary Policy Rules in Central and Eastern Europe
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (20)

2004

  1. Markov Switching Regimes In A Monetary Exchange Rate Model
    Royal Economic Society Annual Conference 2004, Royal Economic Society Downloads View citations (1)
    See also Journal Article in Economic Modelling (2005)

2003

  1. Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (4)
    See also Journal Article in Global Finance Journal (2005)

Journal Articles

2022

  1. Exchange rate exposure for exporting and domestic firms in central and Eastern Europe
    Emerging Markets Review, 2022, 51, (PA) Downloads
  2. Low liquidity beta anomaly in China
    Emerging Markets Review, 2022, 50, (C) Downloads
  3. Manipulation in the bond market and the role of investment funds: Evidence from an emerging market
    International Review of Financial Analysis, 2022, 79, (C) Downloads
  4. Sustainable Economy in Light of COVID-19
    Sustainability, 2022, 14, (9), 1-4 Downloads
  5. Testing Long memory in exchange rates and its implications for the adaptive market hypothesis
    Physica A: Statistical Mechanics and its Applications, 2022, 593, (C) Downloads View citations (1)
  6. The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential
    Mathematics, 2022, 10, (23), 1-17 Downloads
  7. The crisis alpha of managed futures: Myth or reality?
    International Review of Financial Analysis, 2022, 80, (C) Downloads
  8. The role of gender for the risk-shifting behavior of hedge fund and CTA managers
    Finance Research Letters, 2022, 47, (PA) Downloads

2021

  1. A Panel Data Analysis of Uncovered Interest Parity and Time-Varying Risk Premium
    Open Economies Review, 2021, 32, (3), 507-526 Downloads View citations (1)
  2. Boards of directors and corporate sustainability performance: evidence from the emerging East Asian markets
    International Journal of Disclosure and Governance, 2021, 18, (2), 95-105 Downloads View citations (1)
  3. COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave
    Sustainability, 2021, 13, (15), 1-17 Downloads View citations (7)
  4. Correction: Vukovic et al. COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave. Sustainability 2021, 13, 8578
    Sustainability, 2021, 13, (22), 1-3 Downloads View citations (5)
  5. Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function
    Economic Modelling, 2021, 97, (C), 461-476 Downloads
  6. The Accuracy of Trade Classification Systems on the Foreign Exchange Market: Evidence from the RUB/USD Market
    Finance Research Letters, 2021, 42, (C) Downloads

2020

  1. An Alternative Version of Purchasing Power Parity
    International Journal of Finance & Economics, 2020, 25, (4), 511-517 Downloads
  2. Political connection heterogeneity and firm value in Vietnam
    Cogent Business & Management, 2020, 7, (1), 1738202 Downloads

2019

  1. SOCIAL CAPITAL, CREDIT CHOICES AND GROWTH IN VIETNAMESE HOUSEHOLD BUSINESSES
    Journal of Developmental Entrepreneurship (JDE), 2019, 24, (03), 1-19 Downloads View citations (2)

2018

  1. Intraday momentum in FX markets: Disentangling informed trading from liquidity provision
    Journal of Financial Markets, 2018, 37, (C), 35-51 Downloads View citations (25)

2017

  1. Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors
    International Review of Finance, 2017, 17, (3), 427-450 Downloads View citations (1)

2016

  1. Does frequency matter for intraday technical trading?
    Finance Research Letters, 2016, 18, (C), 177-183 Downloads View citations (8)
  2. Editorial to the Special Issue on Emerging Market Finance and Institutional Investors
    Czech Journal of Economics and Finance (Finance a uver), 2016, 66, (5), 372-373 Downloads
  3. The Role of the Real Exchange Rate in Credit Growth in Central and Eastern European Countries: A Bank-Level Analysis
    Czech Journal of Economics and Finance (Finance a uver), 2016, 66, (5), 426-452 Downloads View citations (1)

2015

  1. Further Evidence on Foreign Exchange Jumps and News Announcements
    Emerging Markets Finance and Trade, 2015, 51, (4), 774-787 Downloads View citations (6)
  2. Interest rate convergence in the EMS prior to European Monetary Union
    Journal of Policy Modeling, 2015, 37, (6), 990-1004 Downloads View citations (8)
    See also Working Paper (2009)

2014

  1. Modeling the daily electricity price volatility with realized measures
    Energy Economics, 2014, 44, (C), 492-502 Downloads View citations (20)

2012

  1. Spread Components in the Hungarian Forint-Euro Market
    Emerging Markets Finance and Trade, 2012, 48, (3), 52-69 Downloads View citations (4)
    See also Working Paper (2011)
  2. Testing for a rational bubble under long memory
    Quantitative Finance, 2012, 12, (11), 1723-1732 Downloads View citations (6)
    See also Working Paper (2011)
  3. What do we know about real exchange rate nonlinearities?
    Empirical Economics, 2012, 43, (2), 457-474 Downloads View citations (6)
    See also Working Paper (2010)

2011

  1. Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
    International Journal of Finance & Economics, 2011, 16, (2), 172-188 View citations (2)
    See also Working Paper (2009)
  2. Monetary policy rules in Central and Eastern European Countries: Does the exchange rate matter?
    Journal of Macroeconomics, 2011, 33, (4), 807-818 Downloads View citations (23)
    See also Working Paper (2009)

2010

  1. Private Sector Credit in CESEE: Long-Run Relationships and Short-Run Dynamics
    Focus on European Economic Integration, 2010, (2), 50-78 Downloads View citations (15)
  2. Volatility Regimes in Central and Eastern European Countries’ Exchange Rates
    Czech Journal of Economics and Finance (Finance a uver), 2010, 60, (1), 2-21 Downloads View citations (7)
    See also Working Paper (2007)

2008

  1. Order flows, news, and exchange rate volatility
    Journal of International Money and Finance, 2008, 27, (6), 994-1012 Downloads View citations (26)
    See also Working Paper (2007)

2006

  1. Exchange rate regimes in Central and East European countries: Deeds vs. words
    Journal of Comparative Economics, 2006, 34, (3), 467-483 Downloads View citations (18)

2005

  1. Do fundamentals matter for the D-Mark/Euro-Dollar? A regime switching approach
    Global Finance Journal, 2005, 15, (3), 321-335 Downloads View citations (12)
    See also Working Paper (2003)
  2. Markov switching regimes in a monetary exchange rate model
    Economic Modelling, 2005, 22, (3), 485-502 Downloads View citations (70)
    See also Working Paper (2004)

2003

  1. Increasing exchange rate volatility during the recent float
    Applied Financial Economics, 2003, 13, (12), 877-883 Downloads View citations (8)

2001

  1. Risk Reduction in the EMS? Evidence from Trends in Exchange Rate Properties
    Journal of Common Market Studies, 2001, 39, (2), 285-306 Downloads View citations (10)

Books

2011

  1. The Future of Banking in CESEE after the Financial Crisis
    SUERF Studies, SUERF - The European Money and Finance Forum Downloads View citations (2)
 
Page updated 2023-02-01