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End-User Order Flow and Exchange Rate Dynamics
16 references·3 citing·39 second hop
End-User Order Flow and Exchange Rate Dynamics (2008)End-User Order Flow and Exchange Rate Dyn…Financial Intermediation and the Costs of Trading in an Opaque Market (2006)Financial Intermediation and …Exchange Rates and Fundamentals (2005)Exchange Rates and Fundamenta…Empirical exchange rate models of the nineties: Are any fit to survive? (2005)Empirical exchange rate model…Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Why is it so difficult to bea…The Economics of Exchange Rates (2003)The Economics of Exchange Rat…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Tests of microstructural hypotheses in the foreign exchange market (1995)Tests of microstructural hypo…Identification of the long-run and the short-run structure an application to the ISLM model (1994)Identification of the long-ru…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Insider Trading, Liquidity, and the Role of the Monopolist Specialist (1989)Insider Trading, Liquidity, a…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…The Rationality and Reliability of Expectations Reported by British Households: Micro Evidence from the British Household Panel Survey (2016)The Rationality and Reliabili…Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany (2008)Analyzing the Interest Rate R…Money in Monetary Policy Design Under Uncertainty: The Two-Pillar Phillips Curve Versus Ecb-Style Cross-Checking (2007)Money in Monetary Policy Desi…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Market liquidity and volume around earnings announcements (1994)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates (1963)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)Firm-Specific Assets and the Link Between Exchange Rates and Foreign Direct Investment (2019)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)How do business and financial cycles interact? (2012)Exchange Rate Predictability (2013)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Exchange Rate Dynamics Redux (1995)Exchange Rates, Equity Prices, and Capital Flows (2005)International Liquidity and Exchange Rate Dynamics * (2015)Trading and Arbitrage in Cryptocurrency Markets (2018)Order Flow and Exchange Rate Dynamics (1999)Market microstructure: A survey (2000)Common Risk Factors in Currency Markets (2011)Noise Trader Risk in Financial Markets (1990)
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References

  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 2003The Economics of Exchange Rates1,327 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 2005Exchange Rates and Fundamentals808 cited
  • 2003Why is it so difficult to beat the random walk forecast of exchange rates?784 cited
  • 2005Empirical exchange rate models of the nineties: Are any fit to survive?717 cited
  • 1994Identification of the long-run and the short-run structure an application to the ISLM model646 cited
  • 1989Insider Trading, Liquidity, and the Role of the Monopolist Specialist517 cited
  • 1995Tests of microstructural hypotheses in the foreign exchange market517 cited

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  • 2006Financial Intermediation and the Costs of Trading in an Opaque Market379 cited
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    • 2008Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany27 cited
    • 2016The Rationality and Reliability of Expectations Reported by British Households: Micro Evidence from the British Household Panel Survey18 cited
    • 2007Money in Monetary Policy Design Under Uncertainty: The Two-Pillar Phillips Curve Versus Ecb-Style Cross-Checking11 cited