-
3
-
-
33746232843
-
-
Andersen, T.G., Bollerslev, T., Meddahi, N., 2003a. Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Working paper.
-
-
-
-
4
-
-
0242345456
-
Micro effects of macro announcements: real-time price discovery in foreign exchange
-
Andersen T.G., Bollerslev T., Diebold F.X., and Vega C. Micro effects of macro announcements: real-time price discovery in foreign exchange. American Economic Review 93 (2003) 38-62
-
(2003)
American Economic Review
, vol.93
, pp. 38-62
-
-
Andersen, T.G.1
Bollerslev, T.2
Diebold, F.X.3
Vega, C.4
-
5
-
-
33746196040
-
-
Bank for International Settlements [BIS]., 2002. Triennial central bank survey, foreign exchange and derivatives market activity in 2001. Basel.
-
-
-
-
6
-
-
13844255436
-
Dealer behavior and trading systems in foreign exchange markets
-
Bjønnes G.H., and Rime D. Dealer behavior and trading systems in foreign exchange markets. Journal of Financial Economics 75 (2005) 571-606
-
(2005)
Journal of Financial Economics
, vol.75
, pp. 571-606
-
-
Bjønnes, G.H.1
Rime, D.2
-
7
-
-
0036313467
-
Asymmetric information and price discovery in the FX market: does Tokyo know more about the Yen?
-
Covrig V., and Melvin M. Asymmetric information and price discovery in the FX market: does Tokyo know more about the Yen?. Journal of Empirical Finance 9 (2002) 271-285
-
(2002)
Journal of Empirical Finance
, vol.9
, pp. 271-285
-
-
Covrig, V.1
Melvin, M.2
-
8
-
-
0008605534
-
FX trading and exchange rate dynamics
-
Evans M.D.D. FX trading and exchange rate dynamics. Journal of Finance 57 (2002) 2405-2446
-
(2002)
Journal of Finance
, vol.57
, pp. 2405-2446
-
-
Evans, M.D.D.1
-
11
-
-
13944249820
-
Customer trades and extreme events in foreign exchange
-
Mizen P. (Ed), Edward Elgar, Northampton
-
Fan M., and Lyons R.K. Customer trades and extreme events in foreign exchange. In: Mizen P. (Ed). Monetary history, exchange rates and financial markets: essays in honour of Charles Goodhart (2003), Edward Elgar, Northampton 160-179
-
(2003)
Monetary history, exchange rates and financial markets: essays in honour of Charles Goodhart
, pp. 160-179
-
-
Fan, M.1
Lyons, R.K.2
-
12
-
-
33746205799
-
Foreign-currency positioning by US firms: some new evidence
-
Fieleke N.S. Foreign-currency positioning by US firms: some new evidence. Review of Economics and Statistics 63 (1981) 35-42
-
(1981)
Review of Economics and Statistics
, vol.63
, pp. 35-42
-
-
Fieleke, N.S.1
-
13
-
-
0002729030
-
Exchange rate economics: what's wrong with the conventional macro approach?
-
Frankel J.A., Galli G., and Giovannini A. (Eds), University of Chicago Press, Chicago and London
-
Flood R.P., and Taylor M.P. Exchange rate economics: what's wrong with the conventional macro approach?. In: Frankel J.A., Galli G., and Giovannini A. (Eds). The microstructure of foreign exchange markets (1996), University of Chicago Press, Chicago and London 261-294
-
(1996)
The microstructure of foreign exchange markets
, pp. 261-294
-
-
Flood, R.P.1
Taylor, M.P.2
-
14
-
-
77956842194
-
Empirical research on nominal exchange rates
-
Grossmann G., and Rogoff K. (Eds), North-Holland, Amsterdam
-
Frankel J.A., and Rose A. Empirical research on nominal exchange rates. In: Grossmann G., and Rogoff K. (Eds). Handbook of International Economics, vol. III (1995), North-Holland, Amsterdam 1689-1729
-
(1995)
Handbook of International Economics, vol. III
, pp. 1689-1729
-
-
Frankel, J.A.1
Rose, A.2
-
16
-
-
2442504842
-
The use of flow analysis in foreign exchange: exploratory evidence
-
Gehrig T., and Menkhoff L. The use of flow analysis in foreign exchange: exploratory evidence. Journal of International Money and Finance 23 (2004) 573-594
-
(2004)
Journal of International Money and Finance
, vol.23
, pp. 573-594
-
-
Gehrig, T.1
Menkhoff, L.2
-
17
-
-
0000277234
-
The foreign exchange market: a random walk with a dragging anchor
-
Goodhart C. The foreign exchange market: a random walk with a dragging anchor. Economica 55 (1988) 437-460
-
(1988)
Economica
, vol.55
, pp. 437-460
-
-
Goodhart, C.1
-
18
-
-
0009981298
-
Is there private information in the FX market? The Tokyo experiment
-
Ito T., Lyons R.K., and Melvin M. Is there private information in the FX market? The Tokyo experiment. Journal of Finance 53 (1998) 1111-1130
-
(1998)
Journal of Finance
, vol.53
, pp. 1111-1130
-
-
Ito, T.1
Lyons, R.K.2
Melvin, M.3
-
19
-
-
0037403617
-
Why is it so difficult to beat the random walk forecast of exchange rates?
-
Kilian L., and Taylor M.P. Why is it so difficult to beat the random walk forecast of exchange rates?. Journal of International Economics 60 (2003) 85-107
-
(2003)
Journal of International Economics
, vol.60
, pp. 85-107
-
-
Kilian, L.1
Taylor, M.P.2
-
21
-
-
58149365337
-
Tests of microstructural hypotheses in the foreign exchange market
-
Lyons R.K. Tests of microstructural hypotheses in the foreign exchange market. Journal of Financial Economics 39 (1995) 321-351
-
(1995)
Journal of Financial Economics
, vol.39
, pp. 321-351
-
-
Lyons, R.K.1
-
24
-
-
0000215887
-
Market microstructure: a survey
-
Madhavan A. Market microstructure: a survey. Journal of Financial Markets 3 (2000) 205-258
-
(2000)
Journal of Financial Markets
, vol.3
, pp. 205-258
-
-
Madhavan, A.1
-
25
-
-
0001862522
-
A Bayesian model of intraday specialist pricing
-
Madhavan A., and Smidt S. A Bayesian model of intraday specialist pricing. Journal of Financial Economics 30 (1991) 99-134
-
(1991)
Journal of Financial Economics
, vol.30
, pp. 99-134
-
-
Madhavan, A.1
Smidt, S.2
-
26
-
-
30844471092
-
09/11 on the USD/EUR foreign exchange market
-
Mende A. 09/11 on the USD/EUR foreign exchange market. Applied Financial Economics 16 (2006) 213-222
-
(2006)
Applied Financial Economics
, vol.16
, pp. 213-222
-
-
Mende, A.1
-
27
-
-
0141701434
-
Currency orders and exchange-rate dynamics: an explanation for the predictive success of technical analysis
-
Osler C. Currency orders and exchange-rate dynamics: an explanation for the predictive success of technical analysis. Journal of Finance 58 (2003) 1791-1820
-
(2003)
Journal of Finance
, vol.58
, pp. 1791-1820
-
-
Osler, C.1
-
29
-
-
0141942207
-
Informed trade in spot foreign exchange markets: an empirical investigation
-
Payne R. Informed trade in spot foreign exchange markets: an empirical investigation. Journal of International Economics 61 (2003) 307-329
-
(2003)
Journal of International Economics
, vol.61
, pp. 307-329
-
-
Payne, R.1
-
30
-
-
0006640604
-
Informed traders, intervention and price leadership: a deeper view of the microstructure of the foreign exchange market
-
Peiers B. Informed traders, intervention and price leadership: a deeper view of the microstructure of the foreign exchange market. Journal of Finance 52 (1997) 1589-1614
-
(1997)
Journal of Finance
, vol.52
, pp. 1589-1614
-
-
Peiers, B.1
-
31
-
-
30844454368
-
Forecasting S&P 100 volatility: Using high frequency data and implied volatility
-
Poon S.-H., Blair B., and Taylor S. Forecasting S&P 100 volatility: Using high frequency data and implied volatility. Journal of Econometrics 105 (2001) 5-26
-
(2001)
Journal of Econometrics
, vol.105
, pp. 5-26
-
-
Poon, S.-H.1
Blair, B.2
Taylor, S.3
-
32
-
-
0000786475
-
The purchasing power parity puzzle
-
Rogoff K. The purchasing power parity puzzle. Journal of Economic Literature 34 (1996) 647-668
-
(1996)
Journal of Economic Literature
, vol.34
, pp. 647-668
-
-
Rogoff, K.1
-
35
-
-
0031521464
-
Do central banks lose on foreign-exchange intervention? A review article
-
Sweeney R.J. Do central banks lose on foreign-exchange intervention? A review article. Journal of Banking and Finance 21 (1997) 1667-1684
-
(1997)
Journal of Banking and Finance
, vol.21
, pp. 1667-1684
-
-
Sweeney, R.J.1
-
37
-
-
33746222483
-
-
Wei, S.-J., Kim, J., 1997. The big players in the foreign exchange market: do they trade on information or noise? Review of International Economics, forthcoming [NBER Working Paper 6256].
-
-
-
|