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Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market
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Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market (1996)Announcement Effects and Seasonality in t…A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps (2011)A Survey of Announcement Effe…On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach (2002)On the (intradaily) seasonali…FX Trading and Exchange Rate Dynamics (2001)FX Trading and Exchange Rate …The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour (1997)The Effects of Macroeconomic …Higher-Order Kernel Semiparametric M-Estimation of Long MemoryHigher-Order Kernel Semiparam…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Public information arrival and investor reaction during a period of institutional change: An episode of early years of a newly independent central bank (2014)5 Stochastic volatility (1996)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature (2006)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Time Series Regression with a Unit Root (1987)Gaussian Semiparametric Estimation of Long Range Dependence (1995)Nonlinear log-periodogram regression for perturbed fractional processes (2003)The Long Range Dependence Paradigm for Macroeconomics and Finance (2011)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Discretion versus policy rules in practice (1993)How Markets Process Information: News Releases and Volatility (1993)Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times (2009)The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data (2011)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Measuring the Information Content of Stock Trades (1991)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)
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  • 1997The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour40 cited
  • n.d.Higher-Order Kernel Semiparametric M-Estimation of Long Memory37 cited
  • 2011A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps36 cited
  • 2002On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach32 cited
  • 2001FX Trading and Exchange Rate Dynamics30 cited

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