Fabricius Somogyi
Personal Details
First Name: | Fabricius |
Middle Name: | |
Last Name: | Somogyi |
Suffix: | |
RePEc Short-ID: | pso595 |
[This author has chosen not to make the email address public] | |
Affiliation
Institut für Versicherungswirtschaft
School of Finance
Universität St. Gallen
Sankt Gallen, Switzerlandhttp://www.ivw.unisg.ch/
RePEc:edi:ivwsgch (more details at EDIRC)
Research output
Jump to: Working papersWorking papers
- Angelo Ranaldo & Fabricius Somogyi, 2018.
"Asymmetric Information Risk in FX Markets,"
Working Papers on Finance
1820, University of St. Gallen, School of Finance, revised Apr 2020.
- Ranaldo, Angelo & Somogyi, Fabricius, 2021. "Asymmetric information risk in FX markets," Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Angelo Ranaldo & Fabricius Somogyi, 2018.
"Asymmetric Information Risk in FX Markets,"
Working Papers on Finance
1820, University of St. Gallen, School of Finance, revised Apr 2020.
- Ranaldo, Angelo & Somogyi, Fabricius, 2021. "Asymmetric information risk in FX markets," Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
Cited by:
- Wu, Zhen-Xing & Gau, Yin-Feng, 2022. "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
- Liu, Min & Guo, Tongji & Ping, Weiying & Luo, Liangqing, 2023. "Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?," Energy Economics, Elsevier, vol. 121(C).
- Joscha Beckmann & Robert L. Czudaj, 2022.
"Exchange rate expectation, abnormal returns, and the COVID-19 pandemic,"
Chemnitz Economic Papers
054, Department of Economics, Chemnitz University of Technology, revised Jan 2022.
- Beckmann, Joscha & Czudaj, Robert L., 2022. "Exchange rate expectation, abnormal returns, and the COVID-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 1-25.
- Demirer, Riza & Yuksel, Asli & Yuksel, Aydin, 2022. "Time-varying risk aversion and currency excess returns," Research in International Business and Finance, Elsevier, vol. 59(C).
- Ingomar Krohn & Philippe Mueller & Paul Whelan, 2021. "Foreign Exchange Fixings and Returns Around the Clock," Staff Working Papers 21-48, Bank of Canada.
- Leonie Bräuer & Harald Hau, 2022.
"Can Time-Varying Currency Risk Hedging Explain Exchange Rates?,"
Swiss Finance Institute Research Paper Series
22-77, Swiss Finance Institute.
- Leonie Bräuer & Harald Hau, 2022. "Can Time-Varying Currency Risk Hedging Explain Exchange Rates?," CESifo Working Paper Series 10065, CESifo.
- Syrstad, Olav & Viswanath-Natraj, Ganesh, 2022. "Price-setting in the foreign exchange swap market: Evidence from order flow," Journal of Financial Economics, Elsevier, vol. 146(1), pages 119-142.
- Iraklis Kollias & John Leventides & Vassilios G. Papavassiliou, 2022.
"On the solution of games with arbitrary payoffs: An application to an over-the-counter financial market,"
Working Papers
202302, Geary Institute, University College Dublin.
- Iraklis Kollias & John Leventides & Vassilios G. Papavassiliou, 2024. "On the solution of games with arbitrary payoffs: An application to an over‐the‐counter financial market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1877-1895, April.
- Federico C. Nucera & Lucio Sarno & Gabriele Zinna, 2023. "Currency risk premiums redux?," Temi di discussione (Economic working papers) 1415, Bank of Italy, Economic Research and International Relations Area.
- Yu‐Lun Chen & Yin‐Feng Gau, 2022. "The information effect of order flows in foreign currency futures and spot markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1549-1572, August.
- Craig Burnside & Mario Cerrato & Zhekai Zhang, "undated".
"Foreign exchange order flow as a risk factor,"
Working Papers
2023-03, Business School - Economics, University of Glasgow.
- Craig Burnside & Mario Cerrato & Zhekai Zhang, 2018. "Foreign exchange order fl ow as a risk factor," Working Papers 2018_04, Business School - Economics, University of Glasgow.
- Craig Burnside & Mario Cerrato & Zhekai Zhang, 2020. "Foreign Exchange Order Flow as a Risk Factor," NBER Working Papers 27199, National Bureau of Economic Research, Inc.
- Hutchinson, Mark C. & Kyziropoulos, Panagiotis E. & O'Brien, John & O'Reilly, Philip & Sharma, Tripti, 2022. "Are carry, momentum and value still there in currencies?," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Huang, Wenqian & Ranaldo, Angelo & Schrimpf, Andreas & Somogyi, Fabricius, 2022. "Constrained Dealers and Market Efficiency," VfS Annual Conference 2022 (Basel): Big Data in Economics 264054, Verein für Socialpolitik / German Economic Association.
- Olav Syrstad & Ganesh Viswanath-Natraj, 2020. "Price-setting in the foreign exchange swap market: Evidence from order flow," Working Paper 2020/16, Norges Bank.
- Alain Chaboud & Dagfinn Rime & Vladyslav Sushko, 2023.
"The foreign exchange market,"
BIS Working Papers
1094, Bank for International Settlements.
- Alain Chaboud & Dagfinn Rime & Vladyslav Sushko, 2023. "The foreign exchange market," Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 12, pages 253-275, Edward Elgar Publishing.
- Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
- Tatyana Sukhadolets & Elena Stupnikova & Natalia Fomenko & Nadezhda Kapustina & Yuri Kuznetsov, 2021. "Foreign Direct Investment (FDI), Investment in Construction and Poverty in Economic Crises (Denmark, Italy, Germany, Romania, China, India and Russia)," Economies, MDPI, vol. 9(4), pages 1-18, October.
- Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
- Hasbrouck, Joel & Levich, Richard M., 2021. "Network structure and pricing in the FX market," Journal of Financial Economics, Elsevier, vol. 141(2), pages 705-729.
More information
Research fields, statistics, top rankings, if available.Statistics
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-MST: Market Microstructure (1) 2019-01-28. Author is listed
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