-
3
-
-
13844255436
-
Dealer behavior and trading systems in foreign exchange markets
-
Bjønnes, G., and D. Rime. 2005. Dealer behavior and trading systems in foreign exchange markets. Journal of Financial Economics 75, no. 3: 571-605.
-
(2005)
Journal of Financial Economics
, vol.75
, Issue.3
, pp. 571-605
-
-
Bjønnes, G.1
Rime, D.2
-
4
-
-
13944282314
-
Liquidity provision in the overnight foreign exchange market
-
Bjønnes, G., D. Rime, and H. Solheim. 2005. Liquidity provision in the overnight foreign exchange market. Journal of International Money and Finance 24, no. 2: 175-96.
-
(2005)
Journal of International Money and Finance
, vol.24
, Issue.2
, pp. 175-196
-
-
Bjønnes, G.1
Rime, D.2
Solheim, H.3
-
6
-
-
0008775889
-
Currency traders and exchange rate dynamics: A survey of the US market
-
Cheung, Y., and M. Chinn. 2001. Currency traders and exchange rate dynamics: A survey of the US market. Journal of International Money and Finance 20, no. 4: 439-71.
-
(2001)
Journal of International Money and Finance
, vol.20
, Issue.4
, pp. 439-471
-
-
Cheung, Y.1
Chinn, M.2
-
7
-
-
28244433528
-
Empirical exchange rate models of the nineties: Are any fit to survive?
-
Cheung, Y., M. Chinn, and A. Pascual. 2005. Empirical exchange rate models of the nineties: Are any fit to survive? Journal of International Money and Finance 24, no. 7: 1150-75.
-
(2005)
Journal of International Money and Finance
, vol.24
, Issue.7
, pp. 1150-1175
-
-
Cheung, Y.1
Chinn, M.2
Pascual, A.3
-
8
-
-
0039012102
-
Time and the price impact of a trade
-
Dufour, A., and R. Engle. 2000. Time and the price impact of a trade. Journal of Finance 55, no. 6: 2467-98.
-
(2000)
Journal of Finance
, vol.55
, Issue.6
, pp. 2467-2498
-
-
Dufour, A.1
Engle, R.2
-
9
-
-
0010940821
-
Price, trade size, and information in securities markets
-
Easley, D., and M. O'Hara. 1987. Price, trade size, and information in securities markets. Journal of Financial Economics 19, no. 1: 69-90.
-
(1987)
Journal of Financial Economics
, vol.19
, Issue.1
, pp. 69-90
-
-
Easley, D.1
O'Hara, M.2
-
10
-
-
4043169149
-
Accounting for exchange rate variability in present value models when the discount factor is near one
-
Engel, C., and K. West. 2004. Accounting for exchange rate variability in present value models when the discount factor is near one. American Economic Review, Papers and Proceedings 94, no. 2: 119-25.
-
(2004)
American Economic Review, Papers and Proceedings
, vol.94
, Issue.2
, pp. 119-125
-
-
Engel, C.1
West, K.2
-
11
-
-
21044437667
-
Exchange rates and fundamentals
-
Engel, C., and K. West. 2005. Exchange rates and fundamentals. Journal of Political Economy 113, no. 3: 485-517.
-
(2005)
Journal of Political Economy
, vol.113
, Issue.3
, pp. 485-517
-
-
Engel, C.1
West, K.2
-
12
-
-
0036187547
-
Order flow and exchange rate dynamics
-
Evans, M., and R. Lyons. 2002. Order flow and exchange rate dynamics. Journal of Political Economy 110, no. 1: 170-80.
-
(2002)
Journal of Political Economy
, vol.110
, Issue.1
, pp. 170-180
-
-
Evans, M.1
Lyons, R.2
-
13
-
-
33644811364
-
Meese-Rogoff Redux: Micro-based exchange-rate forecasting
-
Evans, M., and R. Lyons. 2005a. Meese-Rogoff Redux: Micro-based exchange-rate forecasting. American Economic Review, Papers and Proceedings: 95, no. 2: 405-14.
-
(2005)
American Economic Review, Papers and Proceedings
, vol.95
, Issue.2
, pp. 405-414
-
-
Evans, M.1
Lyons, R.2
-
14
-
-
33645319562
-
Are different-currency assets imperfect substitutes?
-
ed. P. DeGrauwe, Cambridge, MA: MIT Press
-
Evans, M., and R. Lyons. 2005b.Are different-currency assets imperfect substitutes? In Exchange rate economics: Where do we stand? ed. P. DeGrauwe, 1-38. Cambridge, MA: MIT Press.
-
(2005)
Exchange Rate Economics: Where Do We Stand?
, pp. 1-38
-
-
Evans, M.1
Lyons, R.2
-
16
-
-
19944363145
-
Currency returns, intrinsic value, and institutional-investor flows
-
Froot, K., and T. Ramadorai. 2005. Currency returns, intrinsic value, and institutional-investor flows. Journal of Finance 60, no. 3: 1535-66.
-
(2005)
Journal of Finance
, vol.60
, Issue.3
, pp. 1535-1566
-
-
Froot, K.1
Ramadorai, T.2
-
17
-
-
0000463443
-
Insider trading, liquidity, and the role of the monopolist specialist
-
Glosten, L. 1989. Insider trading, liquidity, and the role of the monopolist specialist. Journal of Business 62, no. 2: 211-35.
-
(1989)
Journal of Business
, vol.62
, Issue.2
, pp. 211-235
-
-
Glosten, L.1
-
18
-
-
0345401653
-
Bid, ask, and transaction prices in a specialist market with heterogeneously informed agents
-
Glosten, L., and P. Milgrom. 1985. Bid, ask, and transaction prices in a specialist market with heterogeneously informed agents. Journal of Financial Economics 14, no. 1: 71-100.
-
(1985)
Journal of Financial Economics
, vol.14
, Issue.1
, pp. 71-100
-
-
Glosten, L.1
Milgrom, P.2
-
20
-
-
0000414660
-
Large sample properties of generalized method of moment sestimators
-
Hansen, L. 1982. Large sample properties of generalized method of moment sestimators. Econometrica 50, no. 4: 1029-54.
-
(1982)
Econometrica
, vol.50
, Issue.4
, pp. 1029-1054
-
-
Hansen, L.1
-
21
-
-
84977728940
-
Measuring the information content of stock trades
-
Hasbrouck, J. 1991a. Measuring the information content of stock trades. Journal of Finance 46, no. 1: 179-206.
-
(1991)
Journal of Finance
, vol.46
, Issue.1
, pp. 179-206
-
-
Hasbrouck, J.1
-
22
-
-
0001740585
-
The summary informativeness of stock trades:An econometric analysis
-
Hasbrouck, J. 1991b. The summary informativeness of stock trades:An econometric analysis. Review of Financial Studies 4, no. 3: 571-95.
-
(1991)
Review of Financial Studies
, vol.4
, Issue.3
, pp. 571-595
-
-
Hasbrouck, J.1
-
23
-
-
0031501452
-
The components of the bid-ask spread: A general approach
-
Huang, R., and H. Stoll. 1997. The components of the bid-ask spread: A general approach. Review of Financial Studies 10, no. 4: 995-1034.
-
(1997)
Review of Financial Studies
, vol.10
, Issue.4
, pp. 995-1034
-
-
Huang, R.1
Stoll, H.2
-
24
-
-
85016728301
-
Price impacts of deals and predictability of exchange rate movements
-
eds. T. Ito andA. Rose, Chicago University Press: Chicago
-
Ito, T., and Y. Hashimoto. 2008. Price impacts of deals and predictability of exchange rate movements. In International financial issues in the Pacific Rim, NBER East Asia seminar on economics, Vol. 17, 177-215. eds. T. Ito andA. Rose, Chicago University Press: Chicago.
-
(2008)
International Financial Issues In the Pacific Rim, NBER East Asia Seminar On Economics
, vol.17
, pp. 177-215
-
-
Ito, T.1
Hashimoto, Y.2
-
25
-
-
0009981298
-
Is there private information in the foreign exchange market? The Tokyo experiment
-
Ito, T., R. Lyons, and M. Melvin. 1998. Is there private information in the foreign exchange market? The Tokyo experiment. Journal of Finance 53, no. 3: 1111-30.
-
(1998)
Journal of Finance
, vol.53
, Issue.3
, pp. 1111-1130
-
-
Ito, T.1
Lyons, R.2
Melvin, M.3
-
26
-
-
0000158117
-
Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models
-
Johansen, S. 1991. Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica 59, no. 6: 1551-80.
-
(1991)
Econometrica
, vol.59
, Issue.6
, pp. 1551-1580
-
-
Johansen, S.1
-
27
-
-
43949150447
-
Identification of the long-run and the short-run structure:An application to the ISLM model
-
Johansen, S., and K. Juselius. 1994. Identification of the long-run and the short-run structure:An application to the ISLM model. Journal of Econometrics 63, no. 1: 7-36.
-
(1994)
Journal of Econometrics
, vol.63
, Issue.1
, pp. 7-36
-
-
Johansen, S.1
Juselius, K.2
-
28
-
-
0037403617
-
Why is it so difficult to beat the random walk forecast of exchange rates?
-
Kilian, L., and M.P. Taylor. 2003. Why is it so difficult to beat the random walk forecast of exchange rates? Journal of International Economics 60, no. 1: 85-107.
-
(2003)
Journal of International Economics
, vol.60
, Issue.1
, pp. 85-107
-
-
Kilian, L.1
Taylor, M.P.2
-
29
-
-
29344440942
-
Fixed versus flexible: Lessons from EMS order flow
-
Killeen, W., R. Lyons, and M. Moore. 2006. Fixed versus flexible: Lessons from EMS order flow. Journal of International Money and Finance 25, no. 4: 551-79.
-
(2006)
Journal of International Money and Finance
, vol.25
, Issue.4
, pp. 551-579
-
-
Killeen, W.1
Lyons, R.2
Moore, M.3
-
30
-
-
0000859303
-
Continuous auctions and insider trading
-
Kyle, A. 1985. Continuous auctions and insider trading. Econometrica 53, no. 6: 1315-35.
-
(1985)
Econometrica
, vol.53
, Issue.6
, pp. 1315-1335
-
-
Kyle, A.1
-
31
-
-
58149365337
-
Tests of microstructural hypotheses in the foreign exchange market
-
Lyons, R. 1995. Tests of microstructural hypotheses in the foreign exchange market. Journal of Financial Economics 39, no. 2-3: 321-51.
-
(1995)
Journal of Financial Economics
, vol.39
, Issue.2-3
, pp. 321-351
-
-
Lyons, R.1
-
33
-
-
0001862522
-
A Bayesian model of intraday specialist pricing
-
Madhavan, A., and S. Smidt. 1991. A Bayesian model of intraday specialist pricing. Journal of Financial Economics 30, no. 1: 99-134.
-
(1991)
Journal of Financial Economics
, vol.30
, Issue.1
, pp. 99-134
-
-
Madhavan, A.1
Smidt, S.2
-
35
-
-
33846907054
-
Empirical exchange rate models of the seventies: Do they fit out-of-sample?
-
Meese, R., and K. Rogoff. 1983. Empirical exchange rate models of the seventies: Do they fit out-of-sample? Journal of International Economics 14, no. 1-2: 3-24.
-
(1983)
Journal of International Economics
, vol.14
, Issue.1-2
, pp. 3-24
-
-
Meese, R.1
Rogoff, K.2
-
36
-
-
0000706085
-
A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix
-
Newey, W., and K. West. 1987. A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica 55, no. 3: 703-8.
-
(1987)
Econometrica
, vol.55
, Issue.3
, pp. 703-708
-
-
Newey, W.1
West, K.2
-
37
-
-
0141701434
-
Currency orders and exchange rate dynamics: An explanation for the predictive success of technical analysis
-
Osler, C. 2003. Currency orders and exchange rate dynamics: An explanation for the predictive success of technical analysis. Journal of Finance 58, no. 5: 1791-819.
-
(2003)
Journal of Finance
, vol.58
, Issue.5
, pp. 1791-1819
-
-
Osler, C.1
-
38
-
-
13944284262
-
Stop-loss orders and price cascades in currency markets
-
Osler, C. 2005. Stop-loss orders and price cascades in currency markets. Journal of International Money and Finance 24, no. 2: 219-41.
-
(2005)
Journal of International Money and Finance
, vol.24
, Issue.2
, pp. 219-241
-
-
Osler, C.1
-
40
-
-
0141942207
-
Informed trade in spot foreign exchange markets: An empirical investigation
-
Payne, R. 2003. Informed trade in spot foreign exchange markets: An empirical investigation. Journal of International Economics 61, no. 2: 307-29.
-
(2003)
Journal of International Economics
, vol.61
, Issue.2
, pp. 307-329
-
-
Payne, R.1
-
42
-
-
72449123243
-
Exchange rate forecasting, order flow and macroeconomic information
-
Rime, D., L. Sarno, and E. Sojli. 2010. Exchange rate forecasting, order flow and macroeconomic information. Journal of International Economics 80, no. 1: 72-88.
-
(2010)
Journal of International Economics
, vol.80
, Issue.1
, pp. 72-88
-
-
Rime, D.1
Sarno, L.2
Sojli, E.3
-
43
-
-
33644807370
-
Under the microscope: The structure of the foreign exchange market
-
Sager, M., and M.P. Taylor. 2006. Under the microscope: The structure of the foreign exchange market. International Journal of Finance and Economics 11, no. 1: 81-95.
-
(2006)
International Journal of Finance and Economics
, vol.11
, Issue.1
, pp. 81-95
-
-
Sager, M.1
Taylor, M.P.2
-
44
-
-
43749115353
-
Commercially available order flow data and exchange rate movements
-
Sager, M., and M.P. Taylor. 2008. Commercially available order flow data and exchange rate movements. Caveat emptor. Journal of Money, Credit and Banking 40, no. 4: 583-625.
-
(2008)
Caveat Emptor. Journal of Money, Credit and Banking
, vol.40
, Issue.4
, pp. 583-625
-
-
Sager, M.1
Taylor, M.P.2
|