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Risk and Turnover in the Foreign Exchange Market
2 references·16 citing·49 second hop
Risk and Turnover in the Foreign Exchange Market (1996)Risk and Turnover in the Foreign Exchange…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Estimating Continuous-Time Processes Subject to Time Deformation (1988)Estimating Continuous-Time Pr…Network effects in currency internationalisation: Insights from BIS triennial surveys and implications for the renminbi (2016)Network effects in currency i…Surprising information, the MDH, and the relationship between volatility and trading volume (2010)Surprising information, the M…Sequential conditional correlations: Inference and evaluation (2009)Sequential conditional correl…Are RiskMetrics forecasts good enough? Evidence from 31 stock markets (2009)Are RiskMetrics forecasts goo…The role of private information in return volatility, bid–ask spreads and price levels in the foreign exchange market (2008)The role of private informati…On the inadequacy of newswire reports for empirical research on foreign exchange interventions (2006)On the inadequacy of newswire…Trading Volumes, Volatility and Spreads in Foreign Exchange Markets: Evidence from Emerging Market Countries (2005)Trading Volumes, Volatility a…Exchange rate volatility and the mixture of distribution hypothesis (2005)Exchange rate volatility and …Volume and Volatility in the Fx-Market: Does it Matter Who You are? (2004)Volume and Volatility in the …Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations (2004)Value-at-Risk Analysis for Ta…The Empirics of Foreign Exchange Intervention in Emerging Markets (2004)The Empirics of Foreign Excha…Foreign‐Exchange Trading Volume and Federal Reserve Intervention (2001)Foreign‐Exchange Trading Volu…International linkages and macroeconomic news effects on interest rate volatility — Australia and the US (2000)International linkages and ma…Government Intervention and Adverse Selection Costs in Foreign Exchange Markets (2000)Government Intervention and A…Trading volumes and transaction costs in the foreign exchange market (1999)Trading volumes and transacti…Do Reuters spreads reflect currencies' differences in global trading activity? (1998)Do Reuters spreads reflect cu…Measuring Business Cycles (1947)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Fractals and Intrinsic Time - a Challenge to Econometricians (1995)Economic fluctuations and anomalous diffusion (2000)Multifractality in Asset Returns: Theory and Evidence (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Financial Systemic Stress Index for Greece (2011)Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence (2012)Value-at-Risk under Lévy GARCH models: Evidence from global stock markets (2016)Stock return variances (1986)Why Does Stock Market Volatility Change Over Time? 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this work references cited by second hop

References

  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1988Estimating Continuous-Time Processes Subject to Time Deformation129 cited

Cited by

  • 1999Trading volumes and transaction costs in the foreign exchange market94 cited
  • 2004Value-at-Risk Analysis for Taiwan Stock Index Futures: Fat Tails and Conditional Asymmetries in Return Innovations91 cited
  • 2000Government Intervention and Adverse Selection Costs in Foreign Exchange Markets90 cited
  • 2005Trading Volumes, Volatility and Spreads in Foreign Exchange Markets: Evidence from Emerging Market Countries87 cited
  • 2004Volume and Volatility in the Fx-Market: Does it Matter Who You are?61 cited
  • 2000International linkages and macroeconomic news effects on interest rate volatility — Australia and the US53 cited
  • 2009Are RiskMetrics forecasts good enough? Evidence from 31 stock markets51 cited
  • 2006On the inadequacy of newswire reports for empirical research on foreign exchange interventions48 cited
  • 1998Do Reuters spreads reflect currencies' differences in global trading activity?47 cited
  • 2005Exchange rate volatility and the mixture of distribution hypothesis45 cited
  • 2016Network effects in currency internationalisation: Insights from BIS triennial surveys and implications for the renminbi43 cited
  • 2009

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Sequential conditional correlations: Inference and evaluation
43 cited
  • 2004The Empirics of Foreign Exchange Intervention in Emerging Markets40 cited
  • 2010Surprising information, the MDH, and the relationship between volatility and trading volume37 cited
  • 2008The role of private information in return volatility, bid–ask spreads and price levels in the foreign exchange market37 cited
  • 2001Foreign‐Exchange Trading Volume and Federal Reserve Intervention34 cited