Details about Christopher J. Neely

Homepage:	http://research.stlouisfed.org/econ/cneely/
Postal address:	Chris Neely 411 Locust St. St. Louis, MO 63102 United States
Workplace:	Research Division, Federal Reserve Bank of St. Louis, (more information at EDIRC)

Access statistics for papers by Christopher J. Neely.

Last updated 2025-05-15. Update your information in the RePEc Author Service.

Short-id: pne3

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Working Papers

2026

1. Determinants of Foreign Aid to Ukraine
   On the Economy, Federal Reserve Bank of St. Louis
2. Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
   Working Papers, Federal Reserve Bank of St. Louis
   Also in Papers, arXiv.org (2023)
3. Testing for Multi-Asset Systemic Tail Risk
   Working Papers, Federal Reserve Bank of St. Louis
4. The U.S. Dollar’s Role as a Reserve Currency
   Open Vault, Federal Reserve Bank of St. Louis

2025

5. Financial Market Volatility in the Spring of 2025
   On the Economy, Federal Reserve Bank of St. Louis
6. The economic effects of a potential armed conflict over Taiwan
   Working Papers, Federal Reserve Bank of St. Louis
7. What Causes “Jumps” in Stock Prices?
   On the Economy, Federal Reserve Bank of St. Louis

2024

8. Measuring Inflation: Headline, Core and “Supercore” Services
   On the Economy, Federal Reserve Bank of St. Louis
9. Mind Your Language: Market Responses to Central Bank Speeches
   Working Papers, Federal Reserve Bank of St. Louis View citations (10)
   Also in CEPR Discussion Papers, Centre for Economic Policy Research (2023)
   See also Journal Article Mind your language: Market responses to central bank speeches, Journal of Econometrics, Elsevier (2025) View citations (8) (2025)
10. The Costless Disinflation of 2022-24
    On the Economy, Federal Reserve Bank of St. Louis
11. What Happens to Expected Stock Volatility around Election Day?
    On the Economy, Federal Reserve Bank of St. Louis

2023

12. Reviewing the Impact of Energy Sanctions on Russia
    On the Economy, Federal Reserve Bank of St. Louis
13. What Is the Probability of a Recession? The Message from Yield Spreads
    On the Economy, Federal Reserve Bank of St. Louis

2022

14. Financial market reactions to the Russian invasion of Ukraine
    Working Papers, Federal Reserve Bank of St. Louis View citations (6)
15. How Persistent Are Unconventional Monetary Policy Effects?
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article How persistent are unconventional monetary policy effects?, Journal of International Money and Finance, Elsevier (2022) View citations (6) (2022)
16. Inflation and the Real Value of Debt: A Double-edged Sword
    On the Economy, Federal Reserve Bank of St. Louis View citations (1)
17. Russia’s Invasion of Ukraine and Its Impact on Stock Prices
    On the Economy, Federal Reserve Bank of St. Louis
18. The Innocent Greenbacks Abroad: U.S. Currency Held Internationally
    On the Economy, Federal Reserve Bank of St. Louis

2021

19. More Irrational Exuberance? A Look at Stock Prices
    On the Economy, Federal Reserve Bank of St. Louis
20. Unconventional monetary policy and the behavior of shorts
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article Unconventional Monetary Policy and the Behavior of Shorts, Journal of Money, Credit and Banking, Blackwell Publishing (2024) (2024)

2020

21. A Look at the Fed’s Emergency Lending Programs
    On the Economy, Federal Reserve Bank of St. Louis
22. An Analysis of the Literature on International Unconventional Monetary Policy
    Working Papers, Federal Reserve Bank of St. Louis View citations (16)
    See also Journal Article An Analysis of the Literature on International Unconventional Monetary Policy, Journal of Economic Literature, American Economic Association (2022) View citations (55) (2022)
23. Can risk explain the profitability of technical trading in currency markets?
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article Can risk explain the profitability of technical trading in currency markets?, Journal of International Money and Finance, Elsevier (2021) View citations (6) (2021)
24. Monetary Policy and Economic Performance Since the Financial Crisis
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (4)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2020) View citations (4)
    Working Papers, Federal Reserve Bank of St. Louis (2020) View citations (5)
25. More Stories of Unconventional Monetary Policy
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
26. Supply and demand shifts of shorts before Fed announcements during QE1–QE3
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article Supply and demand shifts of shorts before Fed announcements during QE1–QE3, Economics Letters, Elsevier (2021) (2021)

2018

27. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
    IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" View citations (1)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2017) View citations (1)
    See also Journal Article Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book, Journal of Econometrics, Elsevier (2019) View citations (16) (2019)

2017

28. Chinese Foreign Exchange Reserves, Policy Choices and the U.S. Economy
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
29. Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article Systematic cojumps, market component portfolios and scheduled macroeconomic announcements, Journal of Empirical Finance, Elsevier (2017) View citations (3) (2017)
30. The response of multinationals’ foreign exchange rate exposure to macroeconomic news
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article The response of multinationals’ foreign exchange rate exposure to macroeconomic news, Journal of International Money and Finance, Elsevier (2019) View citations (8) (2019)

2015

31. Which continuous-time model is most appropriate for exchange rates?
    Post-Print, HAL View citations (5)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2013) View citations (1)
    See also Journal Article Which continuous-time model is most appropriate for exchange rates?, Journal of Banking & Finance, Elsevier (2015) View citations (5) (2015)

2014

32. The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
    See also Journal Article The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) View citations (8) (2020)

2012

33. Econometric modeling of exchange rate volatility and jumps
    Working Papers, Federal Reserve Bank of St. Louis View citations (17)
    See also Chapter Econometric modeling of exchange rate volatility and jumps, Chapters, Edward Elgar Publishing (2013) (2013)
34. International channels of the Fed’s unconventional monetary policy
    Working Papers, Federal Reserve Bank of St. Louis View citations (30)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (2012) View citations (5)
    See also Journal Article International channels of the Fed's unconventional monetary policy, Journal of International Money and Finance, Elsevier (2014) View citations (116) (2014)

2011

35. Capital flows and Japanese asset volatility
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article CAPITAL FLOWS AND JAPANESE ASSET VOLATILITY, Pacific Economic Review, Wiley Blackwell (2012) View citations (1) (2012)
36. Forecasting the Equity Risk Premium: The Role of Technical Indicators
    Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics View citations (15)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2010) View citations (22)
    See also Journal Article Forecasting the Equity Risk Premium: The Role of Technical Indicators, Management Science, INFORMS (2014) View citations (576) (2014)
37. Jumps, cojumps and macro announcements
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (149)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (9)
    See also Journal Article Jumps, cojumps and macro announcements, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (198) (2011)
38. Lessons from the evolution of foreign exchange trading strategies
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article Lessons from the evolution of foreign exchange trading strategies, Journal of Banking & Finance, Elsevier (2013) View citations (39) (2013)
39. Technical analysis in the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis View citations (41)

2010

40. The large scale asset purchases had large international effects
    Working Papers, Federal Reserve Bank of St. Louis View citations (189)
    See also Journal Article Unconventional monetary policy had large international effects, Journal of Banking & Finance, Elsevier (2015) View citations (315) (2015)

2009

41. Common fluctuations in OECD budget balances
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)

2008

42. Is inflation an international phenomenon?
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)
43. Optimal discrete hedging in the Heston Stochastic Volatility Model
    Working Paper Series, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation
44. Real interest rate persistence: evidence and implications
    Working Papers, Federal Reserve Bank of St. Louis View citations (76)
45. The dynamic interaction of order flows and the CAD/USD exchange rate
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)

2007

46. Central Bank intervention and exchange rate volatility: its continuous and jump components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (52)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (56)
    See also Journal Article Central bank intervention and exchange rate volatility, its continuous and jump components, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2007) View citations (48) (2007)
47. Central bank authorities’ beliefs about foreign exchange intervention
    Working Papers, Federal Reserve Bank of St. Louis View citations (9)
    See also Journal Article Central bank authorities' beliefs about foreign exchange intervention, Journal of International Money and Finance, Elsevier (2008) View citations (75) (2008)
48. Central bank intervention with limited arbitrage
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
    See also Journal Article Central bank intervention with limited arbitrage, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2007) View citations (4) (2007)
49. Information shares in the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article Information shares in the US Treasury market, Journal of Banking & Finance, Elsevier (2008) View citations (85) (2008)
50. The adaptive markets hypothesis: evidence from the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis View citations (16)
    See also Journal Article The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market, Journal of Financial and Quantitative Analysis, Cambridge University Press (2009) View citations (126) (2009)
51. The microstructure of the U.S. treasury market
    Working Papers, Federal Reserve Bank of St. Louis View citations (10)

2006

52. Can Markov switching models predict excess foreign exchange returns?
    Working Papers, Federal Reserve Bank of St. Louis View citations (27)
    See also Journal Article Can Markov switching models predict excess foreign exchange returns?, Journal of Banking & Finance, Elsevier (2007) View citations (41) (2007)
53. Foreign exchange volatility is priced in equities
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article Foreign Exchange Volatility Is Priced in Equities, Financial Management, Financial Management Association International (2008) View citations (10) (2008)
54. Identifying the effects of U.S. intervention on the levels of exchange rates
    Working Papers, Federal Reserve Bank of St. Louis View citations (10)
55. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model, Economics Letters, Elsevier (2008) View citations (27) (2008)
56. The Transition to Electronic Trading in the Secondary Treasury Market
    Departmental Working Papers, Rutgers University, Department of Economics View citations (4)

2005

57. An analysis of recent studies of the effect of foreign exchange intervention
    Working Papers, Federal Reserve Bank of St. Louis View citations (146)
58. The case for foreign exchange intervention: the government as an active reserve manager
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
59. Year-end seasonality in one-month LIBOR derivatives
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)

2004

60. Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?
    Working Papers, Federal Reserve Bank of St. Louis View citations (7)
    See also Journal Article Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?, Journal of International Financial Markets, Institutions and Money, Elsevier (2009) View citations (15) (2009)
61. Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)

2003

62. The Federal Reserve responds to crises: September 11th was not the first
    Working Papers, Federal Reserve Bank of St. Louis View citations (6)

2002

63. How well do monetary fundamentals forecast exchange rates?
    Working Papers, Federal Reserve Bank of St. Louis View citations (80)
64. The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits
    Working Papers, Federal Reserve Bank of St. Louis View citations (47)
    See also Journal Article The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits, Journal of International Economics, Elsevier (2002) View citations (81) (2002)

2001

65. Intraday technical trading in the foreign exchange market
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)
    See also Journal Article Intraday technical trading in the foreign exchange market, Journal of International Money and Finance, Elsevier (2003) View citations (65) (2003)
66. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
67. Risk-adjusted, ex ante, optimal technical trading rules in equity markets
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article Risk-adjusted, ex ante, optimal technical trading rules in equity markets, International Review of Economics & Finance, Elsevier (2003) View citations (18) (2003)

2000

68. Technical analysis and central bank intervention
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article Technical analysis and central bank intervention, Journal of International Money and Finance, Elsevier (2001) View citations (51) (2001)
69. The practice of central bank intervention: looking under the hood
    Working Papers, Federal Reserve Bank of St. Louis View citations (83)

1999

70. Predictability in international asset returns: a reexamination
    Working Papers, Federal Reserve Bank of St. Louis View citations (9)
    See also Journal Article Predictability in International Asset Returns: A Reexamination, Journal of Financial and Quantitative Analysis, Cambridge University Press (2000) View citations (23) (2000)
71. Risk aversion vs. intertemporal substitution: identification failure in the intertemporal consumption CAPM
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    Also in Working Papers, University of Iowa, Department of Economics (1998)

1998

72. Endogenous realignments and the sustainability of a target
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
73. Target zones and conditional volatility: the role of realignments
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article Target zones and conditional volatility: The role of realignments, Journal of Empirical Finance, Elsevier (1999) View citations (38) (1999)
74. Technical trading rules in the European Monetary System
    Working Papers, Federal Reserve Bank of St. Louis View citations (7)
    See also Journal Article Technical trading rules in the European Monetary System, Journal of International Money and Finance, Elsevier (1999) View citations (40) (1999)

1997

75. Is technical analysis in the foreign exchange market profitable? a genetic programming approach
    Working Papers, Federal Reserve Bank of St. Louis View citations (215)
    Also in CEPR Discussion Papers, Centre for Economic Policy Research (1996) View citations (45)
    See also Journal Article Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach, Journal of Financial and Quantitative Analysis, Cambridge University Press (1997) View citations (216) (1997)

1995

76. Endogenous Realignments and the Sustainability of a Target Zone
    CEPR Discussion Papers, Centre for Economic Policy Research View citations (3)
77. Testing asset pricing models with Euler equations: it's worse than you think
    Working Papers, Federal Reserve Bank of St. Louis

1994

78. A reconsideration of the properties of the generalized method moments in asset pricing models
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
79. Realignments of target zone exchange systems: what do we know?
    Working Papers, Federal Reserve Bank of St. Louis View citations (7)

Journal Articles

2026

1. Paul Blustein: King Dollar: The Past and Future of the World’s Dominant Currency
   Business Economics, 2026, 61, (1), 43-44

2025

2. Mind your language: Market responses to central bank speeches
   Journal of Econometrics, 2025, 249, (PC) View citations (8)
   See also Working Paper Mind Your Language: Market Responses to Central Bank Speeches, Working Papers (2024) View citations (10) (2024)

2024

3. Unconventional Monetary Policy and the Behavior of Shorts
   Journal of Money, Credit and Banking, 2024, 56, (4), 805-835
   See also Working Paper Unconventional monetary policy and the behavior of shorts, Working Papers (2021) (2021)

2022

4. An Analysis of the Literature on International Unconventional Monetary Policy
   Journal of Economic Literature, 2022, 60, (2), 527-97 View citations (55)
   See also Working Paper An Analysis of the Literature on International Unconventional Monetary Policy, Working Papers (2020) View citations (16) (2020)
5. How persistent are unconventional monetary policy effects?
   Journal of International Money and Finance, 2022, 126, (C) View citations (6)
   See also Working Paper How Persistent Are Unconventional Monetary Policy Effects?, Working Papers (2022) View citations (3) (2022)

2021

6. Can risk explain the profitability of technical trading in currency markets?
   Journal of International Money and Finance, 2021, 110, (C) View citations (6)
   See also Working Paper Can risk explain the profitability of technical trading in currency markets?, Working Papers (2020) (2020)
7. Supply and demand shifts of shorts before Fed announcements during QE1–QE3
   Economics Letters, 2021, 200, (C)
   See also Working Paper Supply and demand shifts of shorts before Fed announcements during QE1–QE3, Working Papers (2020) (2020)

2020

8. The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
   Journal of Business & Economic Statistics, 2020, 38, (2), 410-427 View citations (8)
   See also Working Paper The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited, Working Papers (2014) View citations (5) (2014)

2019

9. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
   Journal of Econometrics, 2019, 209, (2), 158-184 View citations (16)
   See also Working Paper Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book, IRTG 1792 Discussion Papers (2018) View citations (1) (2018)
10. The response of multinationals’ foreign exchange rate exposure to macroeconomic news
    Journal of International Money and Finance, 2019, 94, (C), 32-47 View citations (8)
    See also Working Paper The response of multinationals’ foreign exchange rate exposure to macroeconomic news, Working Papers (2017) View citations (2) (2017)

2017

11. Systematic cojumps, market component portfolios and scheduled macroeconomic announcements
    Journal of Empirical Finance, 2017, 43, (C), 43-58 View citations (3)
    See also Working Paper Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements, Working Papers (2017) View citations (3) (2017)

2015

12. Unconventional monetary policy had large international effects
    Journal of Banking & Finance, 2015, 52, (C), 101-111 View citations (315)
    See also Working Paper The large scale asset purchases had large international effects, Working Papers (2010) View citations (189) (2010)
13. Which continuous-time model is most appropriate for exchange rates?
    Journal of Banking & Finance, 2015, 61, (S2), S256-S268 View citations (5)
    See also Working Paper Which continuous-time model is most appropriate for exchange rates?, Post-Print (2015) View citations (5) (2015)

2014

14. Forecasting the Equity Risk Premium: The Role of Technical Indicators
    Management Science, 2014, 60, (7), 1772-1791 View citations (576)
    See also Working Paper Forecasting the Equity Risk Premium: The Role of Technical Indicators, Working Papers (2011) View citations (15) (2011)
15. International channels of the Fed's unconventional monetary policy
    Journal of International Money and Finance, 2014, 44, (C), 24-46 View citations (116)
    See also Working Paper International channels of the Fed’s unconventional monetary policy, Working Papers (2012) View citations (30) (2012)

2013

16. Lessons from the evolution of foreign exchange trading strategies
    Journal of Banking & Finance, 2013, 37, (10), 3783-3798 View citations (39)
    See also Working Paper Lessons from the evolution of foreign exchange trading strategies, Working Papers (2011) View citations (1) (2011)

2012

17. CAPITAL FLOWS AND JAPANESE ASSET VOLATILITY
    Pacific Economic Review, 2012, 17, (3), 391-414 View citations (1)
    See also Working Paper Capital flows and Japanese asset volatility, Working Papers (2011) View citations (1) (2011)

2011

18. International comovements in inflation rates and country characteristics
    Journal of International Money and Finance, 2011, 30, (7), 1471-1490 View citations (125)
19. Jumps, cojumps and macro announcements
    Journal of Applied Econometrics, 2011, 26, (6), 893-921 View citations (198)
    See also Working Paper Jumps, cojumps and macro announcements, LIDAM Reprints CORE (2011) View citations (149) (2011)

2009

20. Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (1), 188-205 View citations (15)
    See also Working Paper Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?, Working Papers (2004) View citations (7) (2004)
21. The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market
    Journal of Financial and Quantitative Analysis, 2009, 44, (2), 467-488 View citations (126)
    See also Working Paper The adaptive markets hypothesis: evidence from the foreign exchange market, Working Papers (2007) View citations (16) (2007)

2008

22. Central bank authorities' beliefs about foreign exchange intervention
    Journal of International Money and Finance, 2008, 27, (1), 1-25 View citations (75)
    See also Working Paper Central bank authorities’ beliefs about foreign exchange intervention, Working Papers (2007) View citations (9) (2007)
23. Foreign Exchange Volatility Is Priced in Equities
    Financial Management, 2008, 37, (4), 769-790 View citations (10)
    See also Working Paper Foreign exchange volatility is priced in equities, Working Papers (2006) View citations (1) (2006)
24. Information shares in the US Treasury market
    Journal of Banking & Finance, 2008, 32, (7), 1221-1233 View citations (85)
    See also Working Paper Information shares in the U.S. treasury market, Working Papers (2007) View citations (4) (2007)
25. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
    Economics Letters, 2008, 99, (2), 371-374 View citations (27)
    See also Working Paper Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model, Working Papers (2006) View citations (2) (2006)

2007

26. Can Markov switching models predict excess foreign exchange returns?
    Journal of Banking & Finance, 2007, 31, (2), 279-296 View citations (41)
    See also Working Paper Can Markov switching models predict excess foreign exchange returns?, Working Papers (2006) View citations (27) (2006)
27. Central bank intervention and exchange rate volatility, its continuous and jump components
    International Journal of Finance & Economics, 2007, 12, (2), 201-223 View citations (48)
    See also Working Paper Central Bank intervention and exchange rate volatility: its continuous and jump components, ULB Institutional Repository (2007) View citations (52) (2007)
28. Central bank intervention with limited arbitrage
    International Journal of Finance & Economics, 2007, 12, (2), 249-260 View citations (4)
    See also Working Paper Central bank intervention with limited arbitrage, Working Papers (2007) View citations (5) (2007)
29. Exchange rate intervention
    International Journal of Finance & Economics, 2007, 12, (2), 107-108 View citations (24)

2003

30. Endogenous realignments in a target zone
    Oxford Economic Papers, 2003, 55, (3), 494-511
31. Intraday technical trading in the foreign exchange market
    Journal of International Money and Finance, 2003, 22, (2), 223-237 View citations (65)
    See also Working Paper Intraday technical trading in the foreign exchange market, Working Papers (2001) View citations (12) (2001)
32. Risk-adjusted, ex ante, optimal technical trading rules in equity markets
    International Review of Economics & Finance, 2003, 12, (1), 69-87 View citations (18)
    See also Working Paper Risk-adjusted, ex ante, optimal technical trading rules in equity markets, Working Papers (2001) (2001)

2002

33. The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits
    Journal of International Economics, 2002, 58, (1), 211-232 View citations (81)
    See also Working Paper The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits, Working Papers (2002) View citations (47) (2002)

2001

34. Risk Aversion versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model
    Journal of Business & Economic Statistics, 2001, 19, (4), 395-403 View citations (50)
35. Technical analysis and central bank intervention
    Journal of International Money and Finance, 2001, 20, (7), 949-970 View citations (51)
    See also Working Paper Technical analysis and central bank intervention, Working Papers (2000) View citations (3) (2000)

2000

36. Predictability in International Asset Returns: A Reexamination
    Journal of Financial and Quantitative Analysis, 2000, 35, (4), 601-620 View citations (23)
    See also Working Paper Predictability in international asset returns: a reexamination, Working Papers (1999) View citations (9) (1999)

1999

37. Target zones and conditional volatility: The role of realignments
    Journal of Empirical Finance, 1999, 6, (2), 177-192 View citations (38)
    See also Working Paper Target zones and conditional volatility: the role of realignments, Working Papers (1998) View citations (2) (1998)
38. Technical trading rules in the European Monetary System
    Journal of International Money and Finance, 1999, 18, (3), 429-458 View citations (40)
    See also Working Paper Technical trading rules in the European Monetary System, Working Papers (1998) View citations (7) (1998)

1997

39. A BENEFIT‐COST ANALYSIS OF DISINFLATION
    Contemporary Economic Policy, 1997, 15, (1), 50-64 View citations (7)
40. Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach
    Journal of Financial and Quantitative Analysis, 1997, 32, (4), 405-426 View citations (216)
    See also Working Paper Is technical analysis in the foreign exchange market profitable? a genetic programming approach, Working Papers (1997) View citations (215) (1997)

Chapters

2013

1. Econometric modeling of exchange rate volatility and jumps
   Chapter 16 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 373-427
   See also Working Paper Econometric modeling of exchange rate volatility and jumps, Federal Reserve Bank of St. Louis (2012) View citations (17) (2012)