Details about Michael Frömmel
Access statistics for papers by Michael Frömmel.
Last updated 2022-12-07. Update your information in the RePEc Author Service.
Short-id: pfr29
Jump to Journal Articles Books
Working Papers
2021
- Non-Standard Errors
Working Papers, Faculty of Economics and Statistics, University of Innsbruck 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)  Post-Print, HAL (2021)  Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
2016
- Daily Currency Interventions in Emerging Markets: Incorporating Reserve Accumulation
Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences View citations (1)
2014
- 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
- 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
- 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
2013
- 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 
Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2013)
- 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 View citations (1)
2011
- Spread Components in the Hungarian Forint-Euro Market
2011 Meeting Papers, Society for Economic Dynamics 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) View citations (2)
See also Journal Article in Emerging Markets Finance and Trade (2012)
- 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 View citations (3)
See also Journal Article in Quantitative Finance (2012)
2010
- 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 View citations (4)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (3)
See also Journal Article in Empirical Economics (2012)
2009
- Interest rate convergence in the EMS prior to European Monetary Union
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University 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) View citations (8)
See also Journal Article in Journal of Policy Modeling (2015)
- Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary) 
Also in Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2009) 
See also Journal Article in International Journal of Finance & Economics (2011)
- 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 View citations (4)
See also Journal Article in Journal of Macroeconomics (2011)
2007
- 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 
See also Journal Article in Journal of International Money and Finance (2008)
- 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 
Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2006) 
See also Journal Article in Czech Journal of Economics and Finance (Finance a uver) (2010)
2006
- Bank Lending and Asset Prices in the Euro Area
RWI Discussion Papers, RWI - Leibniz-Institut für Wirtschaftsforschung View citations (5)
Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2006) View citations (5)
- Monetary Policy Rules in Central and Eastern Europe
Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (20)
2004
- Markov Switching Regimes In A Monetary Exchange Rate Model
Royal Economic Society Annual Conference 2004, Royal Economic Society View citations (1)
See also Journal Article in Economic Modelling (2005)
2003
- Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach
Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (4)
See also Journal Article in Global Finance Journal (2005)
Journal Articles
2022
- Exchange rate exposure for exporting and domestic firms in central and Eastern Europe
Emerging Markets Review, 2022, 51, (PA)
- Low liquidity beta anomaly in China
Emerging Markets Review, 2022, 50, (C)
- Manipulation in the bond market and the role of investment funds: Evidence from an emerging market
International Review of Financial Analysis, 2022, 79, (C)
- Sustainable Economy in Light of COVID-19
Sustainability, 2022, 14, (9), 1-4
- Testing Long memory in exchange rates and its implications for the adaptive market hypothesis
Physica A: Statistical Mechanics and its Applications, 2022, 593, (C) View citations (1)
- The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential
Mathematics, 2022, 10, (23), 1-17
- The crisis alpha of managed futures: Myth or reality?
International Review of Financial Analysis, 2022, 80, (C)
- The role of gender for the risk-shifting behavior of hedge fund and CTA managers
Finance Research Letters, 2022, 47, (PA)
2021
- A Panel Data Analysis of Uncovered Interest Parity and Time-Varying Risk Premium
Open Economies Review, 2021, 32, (3), 507-526 View citations (1)
- 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 View citations (1)
- COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave
Sustainability, 2021, 13, (15), 1-17 View citations (7)
- 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 View citations (5)
- Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function
Economic Modelling, 2021, 97, (C), 461-476
- The Accuracy of Trade Classification Systems on the Foreign Exchange Market: Evidence from the RUB/USD Market
Finance Research Letters, 2021, 42, (C)
2020
- An Alternative Version of Purchasing Power Parity
International Journal of Finance & Economics, 2020, 25, (4), 511-517
- Political connection heterogeneity and firm value in Vietnam
Cogent Business & Management, 2020, 7, (1), 1738202
2019
- SOCIAL CAPITAL, CREDIT CHOICES AND GROWTH IN VIETNAMESE HOUSEHOLD BUSINESSES
Journal of Developmental Entrepreneurship (JDE), 2019, 24, (03), 1-19 View citations (2)
2018
- Intraday momentum in FX markets: Disentangling informed trading from liquidity provision
Journal of Financial Markets, 2018, 37, (C), 35-51 View citations (25)
2017
- Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors
International Review of Finance, 2017, 17, (3), 427-450 View citations (1)
2016
- Does frequency matter for intraday technical trading?
Finance Research Letters, 2016, 18, (C), 177-183 View citations (8)
- 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
- 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 View citations (1)
2015
- Further Evidence on Foreign Exchange Jumps and News Announcements
Emerging Markets Finance and Trade, 2015, 51, (4), 774-787 View citations (6)
- Interest rate convergence in the EMS prior to European Monetary Union
Journal of Policy Modeling, 2015, 37, (6), 990-1004 View citations (8)
See also Working Paper (2009)
2014
- Modeling the daily electricity price volatility with realized measures
Energy Economics, 2014, 44, (C), 492-502 View citations (20)
2012
- Spread Components in the Hungarian Forint-Euro Market
Emerging Markets Finance and Trade, 2012, 48, (3), 52-69 View citations (4)
See also Working Paper (2011)
- Testing for a rational bubble under long memory
Quantitative Finance, 2012, 12, (11), 1723-1732 View citations (6)
See also Working Paper (2011)
- What do we know about real exchange rate nonlinearities?
Empirical Economics, 2012, 43, (2), 457-474 View citations (6)
See also Working Paper (2010)
2011
- 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)
- Monetary policy rules in Central and Eastern European Countries: Does the exchange rate matter?
Journal of Macroeconomics, 2011, 33, (4), 807-818 View citations (23)
See also Working Paper (2009)
2010
- Private Sector Credit in CESEE: Long-Run Relationships and Short-Run Dynamics
Focus on European Economic Integration, 2010, (2), 50-78 View citations (15)
- Volatility Regimes in Central and Eastern European Countries’ Exchange Rates
Czech Journal of Economics and Finance (Finance a uver), 2010, 60, (1), 2-21 View citations (7)
See also Working Paper (2007)
2008
- Order flows, news, and exchange rate volatility
Journal of International Money and Finance, 2008, 27, (6), 994-1012 View citations (26)
See also Working Paper (2007)
2006
- Exchange rate regimes in Central and East European countries: Deeds vs. words
Journal of Comparative Economics, 2006, 34, (3), 467-483 View citations (18)
2005
- Do fundamentals matter for the D-Mark/Euro-Dollar? A regime switching approach
Global Finance Journal, 2005, 15, (3), 321-335 View citations (12)
See also Working Paper (2003)
- Markov switching regimes in a monetary exchange rate model
Economic Modelling, 2005, 22, (3), 485-502 View citations (70)
See also Working Paper (2004)
2003
- Increasing exchange rate volatility during the recent float
Applied Financial Economics, 2003, 13, (12), 877-883 View citations (8)
2001
- Risk Reduction in the EMS? Evidence from Trends in Exchange Rate Properties
Journal of Common Market Studies, 2001, 39, (2), 285-306 View citations (10)
Books
2011
- The Future of Banking in CESEE after the Financial Crisis
SUERF Studies, SUERF - The European Money and Finance Forum View citations (2)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|