Details about Michael Frömmel

Access statistics for papers by Michael Frömmel.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pfr29

Working Papers

2024

1. Nonstandard Errors
   Post-Print, HAL
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024)
   Post-Print, HAL (2021)
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2021)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
   Working Papers, Lund University, Department of Economics (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2016

2. 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

3. 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
4. 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
5. 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

6. 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)
7. 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

8. 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 Spread Components in the Hungarian Forint-Euro Market, Emerging Markets Finance and Trade, Taylor & Francis Journals (2012) View citations (4) (2012)
9. 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 Testing for a rational bubble under long memory, Quantitative Finance, Taylor & Francis Journals (2012) View citations (7) (2012)

2010

10. 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 What do we know about real exchange rate nonlinearities?, Empirical Economics, Springer (2012) View citations (6) (2012)

2009

11. 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 Interest rate convergence in the EMS prior to European Monetary Union, Journal of Policy Modeling, Elsevier (2015) View citations (10) (2015)
12. Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration
    Also in MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary) (2009)
    See also Journal Article Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2011) View citations (2) (2011)
13. 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 Monetary policy rules in Central and Eastern European Countries: Does the exchange rate matter?, Journal of Macroeconomics, Elsevier (2011) View citations (24) (2011)

2007

14. 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 Order flows, news, and exchange rate volatility, Journal of International Money and Finance, Elsevier (2008) View citations (29) (2008)
15. 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) View citations (1)
    See also Journal Article Volatility Regimes in Central and Eastern European Countries’ Exchange Rates, Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences (2010) View citations (8) (2010)

2006

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

2004

18. 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 Markov switching regimes in a monetary exchange rate model, Economic Modelling, Elsevier (2005) View citations (76) (2005)

2003

19. 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 Do fundamentals matter for the D-Mark/Euro-Dollar? A regime switching approach, Global Finance Journal, Elsevier (2005) View citations (12) (2005)

Journal Articles

2025

1. Spillovers between cryptocurrencies and financial markets in a global framework
   Journal of International Money and Finance, 2025, 150, (C)

2024

2. Are simple technical trading rules profitable in bitcoin markets?
   International Review of Economics & Finance, 2024, 93, (PB), 858-874
3. Do bitcoin shocks truly Cointegrate with financial and commodity markets?
   International Review of Financial Analysis, 2024, 95, (PA) View citations (1)
4. Donald Trump's tweets, political value judgment, and the Renminbi exchange rate
   International Review of Financial Analysis, 2024, 93, (C)
5. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard Errors, Post-Print (2024) (2024)
6. Socially responsible investments: doing good while doing well in developed versus emerging markets?
   Research in International Business and Finance, 2024, 69, (C)

2023

7. Corruption, business environment, and firm growth in Vietnam
   International Journal of Finance & Economics, 2023, 28, (3), 2512-2529 View citations (1)
8. Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange
   Financial Innovation, 2023, 9, (1), 1-23
9. Quantifying the asymmetric information flow between Bitcoin prices and electricity consumption
   Finance Research Letters, 2023, 57, (C) View citations (3)
10. The effects of Covid-19 related response policies on the performances of technology-driven financial services companies
    Finance Research Letters, 2023, 58, (PD)

2022

11. Exchange rate exposure for exporting and domestic firms in central and Eastern Europe
    Emerging Markets Review, 2022, 51, (PA) View citations (2)
12. Inflation and portfolio selection
    Finance Research Letters, 2022, 50, (C) View citations (4)
13. Low liquidity beta anomaly in China
    Emerging Markets Review, 2022, 50, (C) View citations (2)
14. Manipulation in the bond market and the role of investment funds: Evidence from an emerging market
    International Review of Financial Analysis, 2022, 79, (C)
15. Sustainable Economy in Light of COVID-19
    Sustainability, 2022, 14, (9), 1-4 View citations (1)
16. 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)
17. The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential
    Mathematics, 2022, 10, (23), 1-17
18. The crisis alpha of managed futures: Myth or reality?
    International Review of Financial Analysis, 2022, 80, (C) View citations (1)
19. The role of gender for the risk-shifting behavior of hedge fund and CTA managers
    Finance Research Letters, 2022, 47, (PA)

2021

20. A Panel Data Analysis of Uncovered Interest Parity and Time-Varying Risk Premium
    Open Economies Review, 2021, 32, (3), 507-526 View citations (3)
21. 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)
22. COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave
    Sustainability, 2021, 13, (15), 1-17 View citations (18)
23. 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)
24. Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function
    Economic Modelling, 2021, 97, (C), 461-476 View citations (1)
25. The Accuracy of Trade Classification Systems on the Foreign Exchange Market: Evidence from the RUB/USD Market
    Finance Research Letters, 2021, 42, (C)

2020

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

2019

28. SOCIAL CAPITAL, CREDIT CHOICES AND GROWTH IN VIETNAMESE HOUSEHOLD BUSINESSES
    Journal of Developmental Entrepreneurship (JDE), 2019, 24, (03), 1-19 View citations (5)

2018

29. Intraday momentum in FX markets: Disentangling informed trading from liquidity provision
    Journal of Financial Markets, 2018, 37, (C), 35-51 View citations (29)

2017

30. 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

31. Does frequency matter for intraday technical trading?
    Finance Research Letters, 2016, 18, (C), 177-183 View citations (8)
32. 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
33. 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 (2)

2015

34. Crystallization: A Hidden Dimension of CTA Fees
    Financial Analysts Journal, 2015, 71, (4), 51-62
35. Further Evidence on Foreign Exchange Jumps and News Announcements
    Emerging Markets Finance and Trade, 2015, 51, (4), 774-787 View citations (7)
36. Interest rate convergence in the EMS prior to European Monetary Union
    Journal of Policy Modeling, 2015, 37, (6), 990-1004 View citations (10)
    See also Working Paper Interest rate convergence in the EMS prior to European Monetary Union, CREATES Research Papers (2009) View citations (8) (2009)

2014

37. Modeling the daily electricity price volatility with realized measures
    Energy Economics, 2014, 44, (C), 492-502 View citations (26)

2012

38. 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 Spread Components in the Hungarian Forint-Euro Market, 2011 Meeting Papers (2011) View citations (2) (2011)
39. Testing for a rational bubble under long memory
    Quantitative Finance, 2012, 12, (11), 1723-1732 View citations (7)
    See also Working Paper Testing for a rational bubble under long memory, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2011) View citations (3) (2011)
40. What do we know about real exchange rate nonlinearities?
    Empirical Economics, 2012, 43, (2), 457-474 View citations (6)
    See also Working Paper What do we know about real exchange rate nonlinearities?, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2010) View citations (4) (2010)

2011

41. 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 Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2009) (2009)
42. Monetary policy rules in Central and Eastern European Countries: Does the exchange rate matter?
    Journal of Macroeconomics, 2011, 33, (4), 807-818 View citations (24)
    See also Working Paper 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 (2009) View citations (4) (2009)

2010

43. Private Sector Credit in CESEE: Long-Run Relationships and Short-Run Dynamics
    Focus on European Economic Integration, 2010, (2), 50-78 View citations (16)
44. 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 (8)
    See also Working Paper Volatility Regimes in Central and Eastern European Countries’ Exchange Rates, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2007) (2007)

2008

45. Order flows, news, and exchange rate volatility
    Journal of International Money and Finance, 2008, 27, (6), 994-1012 View citations (29)
    See also Working Paper Order Flows, News, and Exchange Rate Volatility, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2007) (2007)

2006

46. 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

47. 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 Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach, Hannover Economic Papers (HEP) (2003) View citations (4) (2003)
48. Markov switching regimes in a monetary exchange rate model
    Economic Modelling, 2005, 22, (3), 485-502 View citations (76)
    See also Working Paper Markov Switching Regimes In A Monetary Exchange Rate Model, Royal Economic Society Annual Conference 2004 (2004) View citations (1) (2004)

2003

49. Increasing exchange rate volatility during the recent float
    Applied Financial Economics, 2003, 13, (12), 877-883 View citations (7)

2001

50. 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

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