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Risk and Turnover in the Foreign Exchange Market · Study

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PreprintRisk and Turnover in the Foreign Exchange Market

Philippe Jorion1996

Preprint1996

Risk and Turnover in the Foreign Exchange Market

Philippe Jorion

97 citations·0/0 files stored·RePEc: Research Papers in Economics

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Global Financial Crisis and Policies Financial Markets and Investment Strategies Risk Management in Financial Firms

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References

1993How Markets Process Information: News Releases and Volatility 1988Estimating Continuous-Time Processes Subject to Time Deformation

Cited by

1999Trading volumes and transaction costs in the foreign exchange market 2004Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations 2000Government Intervention and Adverse Selection Costs in Foreign Exchange Markets 2005Trading Volumes, Volatility and Spreads in Foreign Exchange Markets: Evidence from Emerging Market Countries 2004Volume and Volatility in the Fx-Market: Does it Matter Who You are?2000International linkages and macroeconomic news effects on interest rate volatility — Australia and the US 2009Are RiskMetrics forecasts good enough? Evidence from 31 stock markets 2006On the inadequacy of newswire reports for empirical research on foreign exchange interventions

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatilityarticle · 1 shared reference 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Marketarticle · 1 shared reference 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovementsarticle · 1 shared reference 2002Macroeconomic Factors Do Influence Aggregate Stock Returnsarticle · 1 shared reference 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Informationarticle · 1 shared reference 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returnsarticle · 1 shared reference

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Year1996

Typepreprint

Published1996-01-01

VenueRePEc: Research Papers in Economics

Languageen

Citations97

Files0 public / 0

ShelfGlobal Financial Crisis and Policies

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openalex_workW1559590359

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