메뉴 건너뛰기




Volumn 18, Issue 4, 2009, Pages 656-670

Is there any common knowledge news in the Euro/Dollar market?

Author keywords

Count data; Foreign exchange; Market microstructure; Time series

Indexed keywords


EID: 69349098431     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2009.02.003     Document Type: Article
Times cited : (2)

References (24)
  • 1
    • 0039066490 scopus 로고    scopus 로고
    • Deutsche mark-dollar volatility: intraday volatility patterns, macroeconomic announcements and longer run dependencies
    • Andersen T., and Bollerslev T. Deutsche mark-dollar volatility: intraday volatility patterns, macroeconomic announcements and longer run dependencies. The Journal of Finance 1 (1998) 219-265
    • (1998) The Journal of Finance , vol.1 , pp. 219-265
    • Andersen, T.1    Bollerslev, T.2
  • 2
    • 0242345456 scopus 로고    scopus 로고
    • 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
  • 3
    • 28244486132 scopus 로고    scopus 로고
    • News announcements, market activity and volatility in the euro/dollar foreign exchange market
    • Bauwens L., Ben Omrane W., and Giot P. News announcements, market activity and volatility in the euro/dollar foreign exchange market. Journal of International Money and Finance 24 (2005) 1108-1125
    • (2005) Journal of International Money and Finance , vol.24 , pp. 1108-1125
    • Bauwens, L.1    Ben Omrane, W.2    Giot, P.3
  • 5
    • 84993842144 scopus 로고
    • Trading patterns and prices in the interbank foreign exchange market
    • Bollerslev T., and Domowitz I. Trading patterns and prices in the interbank foreign exchange market. The Journal of Finance 4 (1993) 1421-1443
    • (1993) The Journal of Finance , vol.4 , pp. 1421-1443
    • Bollerslev, T.1    Domowitz, I.2
  • 6
    • 0000235618 scopus 로고    scopus 로고
    • Once in a generation yen volatility in 1998: fundamentals, intervention and order flow
    • Cai J., Cheung Y., Lee R., and Melvin M. Once in a generation yen volatility in 1998: fundamentals, intervention and order flow. Journal of International Money and Finance 20 (2001) 327-347
    • (2001) Journal of International Money and Finance , vol.20 , pp. 327-347
    • Cai, J.1    Cheung, Y.2    Lee, R.3    Melvin, M.4
  • 7
    • 0033938149 scopus 로고    scopus 로고
    • A survey of market practitioners: view on exchange rate dynamics
    • Cheung Y., and Wong C. A survey of market practitioners: view on exchange rate dynamics. Journal of International Money and Finance 51 (2000) 401-419
    • (2000) Journal of International Money and Finance , vol.51 , pp. 401-419
    • Cheung, Y.1    Wong, C.2
  • 8
    • 0036199559 scopus 로고    scopus 로고
    • Real trading patterns and prices in spot foreign exchange markets
    • Danielsson J., and Payne R. Real trading patterns and prices in spot foreign exchange markets. Journal of International Money and Finance 21 (2002) 203-222
    • (2002) Journal of International Money and Finance , vol.21 , pp. 203-222
    • Danielsson, J.1    Payne, R.2
  • 9
    • 0031498114 scopus 로고    scopus 로고
    • Public information releases, private information arrival and volatility in the foreign exchange market
    • DeGennaro R., and Shrieves R. Public information releases, private information arrival and volatility in the foreign exchange market. Journal of Empirical Finance 4 (1997) 295-315
    • (1997) Journal of Empirical Finance , vol.4 , pp. 295-315
    • DeGennaro, R.1    Shrieves, R.2
  • 10
    • 7044235252 scopus 로고    scopus 로고
    • Constraints on concordance measures in bivariate discrete data
    • Denuit M., and Lambert P. Constraints on concordance measures in bivariate discrete data. Journal of Multivariate Analysis 93 1 (2005) 40-57
    • (2005) Journal of Multivariate Analysis , vol.93 , Issue.1 , pp. 40-57
    • Denuit, M.1    Lambert, P.2
  • 12
    • 0347623647 scopus 로고    scopus 로고
    • Evaluating density forecasts with applications to financial risk management
    • Diebold F.X., Gunther T.A., and Tay A.S. Evaluating density forecasts with applications to financial risk management. International Economic Review 39 4 (1998) 863-883
    • (1998) International Economic Review , vol.39 , Issue.4 , pp. 863-883
    • Diebold, F.X.1    Gunther, T.A.2    Tay, A.S.3
  • 13
    • 84895372431 scopus 로고
    • Double exponential families and their use in generalized linear regression
    • Efron B. Double exponential families and their use in generalized linear regression. Journal of the American Statistical Association 81 395 (1986) 709-721
    • (1986) Journal of the American Statistical Association , vol.81 , Issue.395 , pp. 709-721
    • Efron, B.1
  • 14
    • 0008605534 scopus 로고    scopus 로고
    • Fx trading and exchange rate dynamics
    • Evans M. Fx trading and exchange rate dynamics. Journal of Finance 57 6 (2002) 2405-2447
    • (2002) Journal of Finance , vol.57 , Issue.6 , pp. 2405-2447
    • Evans, M.1
  • 15
    • 42049113637 scopus 로고    scopus 로고
    • How is macro news transmitted to exchange rates?
    • Evans M., and Lyons R. How is macro news transmitted to exchange rates?. Journal of Financial Economics 88 (2008) 26-50
    • (2008) Journal of Financial Economics , vol.88 , pp. 26-50
    • Evans, M.1    Lyons, R.2
  • 17
    • 69349100019 scopus 로고
    • Market structure and inefficiency in the foreign exchange market
    • Flood M. Market structure and inefficiency in the foreign exchange market. Journal of International Money and Finance 24 (1994) 1108-1125
    • (1994) Journal of International Money and Finance , vol.24 , pp. 1108-1125
    • Flood, M.1
  • 20
    • 58149365337 scopus 로고
    • Tests of microstructural hypotheses in the foreign exchange market
    • Lyons R. 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.1
  • 21
    • 0000233970 scopus 로고    scopus 로고
    • Public information arrival, exchange rate volatility and quote frequency
    • Melvin M., and Yin X. Public information arrival, exchange rate volatility and quote frequency. The Economic Journal 110 (2000) 644-661
    • (2000) The Economic Journal , vol.110 , pp. 644-661
    • Melvin, M.1    Yin, X.2
  • 22
    • 0006640604 scopus 로고    scopus 로고
    • 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. The Journal of Finance 4 (1997) 1589-1614
    • (1997) The Journal of Finance , vol.4 , pp. 1589-1614
    • Peiers, B.1
  • 23
    • 0036746465 scopus 로고    scopus 로고
    • Price leadership in the spot foreign exchange market
    • Sapp S. Price leadership in the spot foreign exchange market. Journal of Financial and Quantitative Analysis 37 3 (2002) 425-448
    • (2002) Journal of Financial and Quantitative Analysis , vol.37 , Issue.3 , pp. 425-448
    • Sapp, S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.