IDEAS home Printed from https://ideas.repec.org/a/eee/mulfin/v12y2002i1p1-19.html
   My bibliography  Save this article

Alternative foreign exchange management protocols: an application of sensitivity analysis

Author

Listed:
  • Gautier, Antoine
  • Granot, Frieda
  • Levi, Maurice

Abstract

No abstract is available for this item.

Suggested Citation

  • Gautier, Antoine & Granot, Frieda & Levi, Maurice, 2002. "Alternative foreign exchange management protocols: an application of sensitivity analysis," Journal of Multinational Financial Management, Elsevier, vol. 12(1), pages 1-19, February.
    • Handle: RePEc:eee:mulfin:v:12:y:2002:i:1:p:1-19
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1042-444X(01)00023-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
    2. Judy C. Lewent & A. John Kearney, 1990. "Identifying, Measuring, And Hedging Currency Risk At Merck," Journal of Applied Corporate Finance, Morgan Stanley, vol. 2(4), pages 19-28, January.
    3. Antoine Gautier & Frieda Granot, 1996. "Ripples, complements, and substitutes in generalized networks," Naval Research Logistics (NRL), John Wiley & Sons, vol. 43(1), pages 1-21, February.
    4. Levi, Maurice D., 1992. "Non-reversed investment and borrowing, transaction costs, and covered interest parity," International Review of Economics & Finance, Elsevier, vol. 1(2), pages 107-119.
    5. Peter J. Maloney, 1990. "Managing Currency Exposure: The Case Of Western Mining," Journal of Applied Corporate Finance, Morgan Stanley, vol. 2(4), pages 29-34, January.
    6. Christofides, N. & Hewins, R. D. & Salkin, G. R., 1979. "Graph Theoretic Approaches to Foreign Exchange Operations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(3), pages 481-500, September.
    7. Frieda Granot & Arthur F. Veinott, 1985. "Substitutes, Complements and Ripples in Network Flows," Mathematics of Operations Research, INFORMS, vol. 10(3), pages 471-497, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    2. Dungey, M. H., 1999. "Decomposing exchange rate volatility around the Pacific Rim," Journal of Asian Economics, Elsevier, vol. 10(4), pages 525-535.
    3. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics.
    4. Kim, Young Min & Lee, Seojin, 2023. "Spillover shifts in the FX market: Implication for the behavior of a safe haven currency," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    5. Saba Qureshi & Muhammad Aftab, 2023. "Exchange Rate Interdependence in ASEAN Markets: A Wavelet Analysis," Global Business Review, International Management Institute, vol. 24(6), pages 1180-1204, December.
    6. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2018. "Crash Risk in Currency Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 137-170, February.
    7. Ghouse, Ghulam & Khan, Saud Ahmed & Habeeb, Kashif, 2019. "Information Transmission Among Equity Markets: A Comparison Between ARDL and GARCH Model," MPRA Paper 97925, University Library of Munich, Germany.
    8. Charlotte Christiansen, 2007. "Volatility‐Spillover Effects in European Bond Markets," European Financial Management, European Financial Management Association, vol. 13(5), pages 923-948, November.
    9. Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
    10. David McMillan & Isabel Ruiz & Alan Speight, 2010. "Correlations and spillovers among three euro rates: evidence using realised variance," The European Journal of Finance, Taylor & Francis Journals, vol. 16(8), pages 753-767.
    11. Arnab Bhattacharjee & Sudipto Roy, 2019. "Abnormal Returns or Mismeasured Risk? Network Effects and Risk Spillover in Stock Returns," JRFM, MDPI, vol. 12(2), pages 1-13, March.
    12. Michael Melvin & Bettina Peiers, 1998. "Twice a day or continuously? Observation frequency and inference on foreign exchange volatility persistence," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 26(1), pages 44-53, March.
    13. Mirman, Leonard J. & Morand, Olivier F. & Reffett, Kevin L., 2008. "A qualitative approach to Markovian equilibrium in infinite horizon economies with capital," Journal of Economic Theory, Elsevier, vol. 139(1), pages 75-98, March.
    14. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2015. "Intra-daily volatility spillovers in international stock markets," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 95-114.
    15. Jeffrey A. Frankel, 1994. "The Internationalization of Equity Markets," NBER Books, National Bureau of Economic Research, Inc, number fran94-1, March.
    16. Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.
    17. Cohen, Benjamin H. & Remolona, Eli M., 2008. "Information flows during the Asian crisis: Evidence from closed-end funds," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 636-653, June.
    18. repec:wyi:journl:002146 is not listed on IDEAS
    19. Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers 49, Brandeis University, Department of Economics and International Business School.
    20. Tim Bollerslev & Benjamin Hood & John Huss & Lasse Heje Pedersen, 2018. "Risk Everywhere: Modeling and Managing Volatility," Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2729-2773.
    21. Wang, Steven Shuye & Firth, Michael, 2004. "Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 235-254, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:mulfin:v:12:y:2002:i:1:p:1-19. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/mulfin .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.