University of Iowa
Phone: (314) 444-8568
Fax: (314) 444-8731
Federal Reserve Bank of St. Louis
P.O. Box 442
St. Louis, MO 63166-0442
For media inquiries contact:
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Christopher J. Neely
"Which continuous-time model is most appropriate for exchange rates?"
with Deniz Erdemlioglu and Sébastien Laurent
Working Paper 2013-024D, posted August 2013, updated February 2015.
"Can Risk Explain the Profitability of Technical Trading in Currency Markets?"
with Yuliya Ivanova, David E. Rapach, and Paul A. Weller
Working Paper 2014-033A, posted October 2014.
"The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited"
with Jérôme Lahaye
Working Paper 2014-034A, posted October 2014.
"How Persistent are Monetary Policy Effects at the Zero Lower Bound?"
Working Paper 2014-004A, posted February 2014.
"The Dynamic Interaction of Trading Flows, Macroeconomic Announcements and the CAD/USD Exchange Rate: Evidence from Disaggregated Data"
with Nikola Gradojevic
Working Paper 2008-006C, posted February 2008, updated August 2009.
"Identifying the Effects of U.S. Intervention on the Levels of Exchange Rates"
Working Paper 2005-031C, posted May 2005, updated May 2006.
"The Case for Foreign Exchange Intervention: The Government as an Active Reserve Manager"
Working Paper 2004-031B, posted November 2004, updated July 2005.
"Implied Volatility from Options on Gold Futures: Do Econometric Forecasts Add Value or Simply Paint the Lilly?"
Working Paper 2003-018C, posted July 2003, updated June 2004.
"Testing Asset Pricing Models with Euler Equations: It's Far Worse Than You Think. Original version, 94-010A"
Working Paper 1995-018A, posted September 1995.
"A Reconsideration of the Properties of the Generalized Method of Moments in Asset Pricing Models"
Working Paper 1994-010A, posted April 1994.