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Volumn 11, Issue 4, 2004, Pages 263-266

Public information, private information, inventory contril, and volatility of intraday NTD/USD exchange rates

Author keywords

[No Author keywords available]

Indexed keywords

EXCHANGE RATE; FINANCIAL MARKET; SEASONAL VARIATION;

EID: 1842789049     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850410001674939     Document Type: Article
Times cited : (12)

References (13)
  • 1
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    • Andersen, T.G.1    Bollerslev, T.2
  • 2
    • 0039066490 scopus 로고    scopus 로고
    • Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies
    • Andersen, T. G. and Bollerslev, T. (1998) Deutsche mark-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies, Journal of Finance, 53, 219-65.
    • (1998) Journal of Finance , vol.53 , pp. 219-265
    • Andersen, T.G.1    Bollerslev, T.2
  • 3
    • 84959819944 scopus 로고
    • Intra-day and inter-market volatility in foreign exchange rates
    • Baillie, R. T. and Bollerslev, T. (1991) Intra-day and inter-market volatility in foreign exchange rates, Review of Economic Studies, 58, 565-85.
    • (1991) Review of Economic Studies , vol.58 , pp. 565-585
    • Baillie, R.T.1    Bollerslev, T.2
  • 5
    • 0040137117 scopus 로고    scopus 로고
    • Just another day in the inter-bank foreign exchange market
    • Chakrabarti, R. (2000) Just another day in the inter-bank foreign exchange market, Journal of Financial Economics, 56, 29-64.
    • (2000) Journal of Financial Economics , vol.56 , pp. 29-64
    • Chakrabarti, R.1
  • 7
    • 0000161684 scopus 로고
    • Volatility in the foreign currency futures market
    • Harvey, C. R. and Huang, R. D. (1991) Volatility in the foreign currency futures market, Review of Financial Studies, 4, 543-69.
    • (1991) Review of Financial Studies , vol.4 , pp. 543-569
    • Harvey, C.R.1    Huang, R.D.2
  • 8
    • 0009981298 scopus 로고    scopus 로고
    • Is there private information in the foreign exchange market? The Tokyo experiment
    • Ito, T., Lyons, K. and Melvin, T. (1998) Is there private information in the foreign exchange market? The Tokyo experiment, Journal of Finance, 53, 1111-31.
    • (1998) Journal of Finance , vol.53 , pp. 1111-1131
    • Ito, T.1    Lyons, K.2    Melvin, T.3
  • 9
    • 58149365337 scopus 로고
    • Tests of microstructural hypotheses in the foreign exchange market
    • Lyons, R. K. (1995) Tests of microstructural hypotheses in the foreign exchange market, Journal of Financial Economics, 39, 321-51.
    • (1995) Journal of Financial Economics , vol.39 , pp. 321-351
    • Lyons, R.K.1
  • 10
    • 0001312822 scopus 로고    scopus 로고
    • A simultaneous trade model of the foreign exchange hot potato
    • Lyons, R. K. (1997) A simultaneous trade model of the foreign exchange hot potato, Journal of International Economics, 42, 275-98.
    • (1997) Journal of International Economics , vol.42 , pp. 275-298
    • Lyons, R.K.1
  • 11
    • 0032545909 scopus 로고    scopus 로고
    • Profits and position control: A week of FX dealing
    • Lyons, R. K. (1998) Profits and position control: a week of FX dealing, Journal of International Money and Finance, 17, 97-115.
    • (1998) Journal of International Money and Finance , vol.17 , pp. 97-115
    • Lyons, R.K.1
  • 12
    • 85016309068 scopus 로고    scopus 로고
    • A comparison of seasonal adjustment methods when forecasting intraday volatility
    • Martens, M., Chang, Y. and Taylor, S. (2002) A comparison of seasonal adjustment methods when forecasting intraday volatility, Journal of Financial Research, 25, 283-99.
    • (2002) Journal of Financial Research , vol.25 , pp. 283-299
    • Martens, M.1    Chang, Y.2    Taylor, S.3
  • 13
    • 0036742596 scopus 로고    scopus 로고
    • Intraday and intraweek volatility patterns of Hang Seng Index and Index Futures, and a test of the Wait-to-trade Hypothesis
    • Tang, G. and Lui, D. (2002) Intraday and intraweek volatility patterns of Hang Seng Index and Index Futures, and a test of the Wait-to-trade Hypothesis, Pacific-Basin Finance Journal, 10, 475-95.
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    • Tang, G.1    Lui, D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.