Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

High-Frequency Data and Volatility in Foreign-Exchange Rates

4 references·16 citing·42 second hop

FromToDepth

this work references cited by second hop

References

1983Empirical exchange rate models of the seventies4,115 cited
1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
1989Brownian Motion and Stochastic Calculus.921 cited

Cited by

2008Microstructure Noise, Realized Variance, and Optimal Sampling598 cited
2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
2010Parametric and Nonparametric Volatility Measurement520 cited
2008Realized Volatility: A Review517 cited
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
2005A multiple indicators model for volatility using intra-daily data487 cited
2001A test for volatility spillover with application to exchange rates443 cited
2008How is macro news transmitted to exchange rates?369 cited
2010Ultra high frequency volatility estimation with dependent microstructure noise360 cited
2015Price discovery on Bitcoin exchanges332 cited
2006

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

Chapter 15 Volatility and Correlation Forecasting

330 cited

2008Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility318 cited

2013Limit order books310 cited

2004Realized Variance and Market Microstructure Noise308 cited

2006No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications301 cited

1994Bid—ask spreads and volatility in the foreign exchange market300 cited