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The effectiveness of position limits: Evidence from the foreign exchange futures markets
16 references·1 citing·43 second hop
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this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1971A Treatise on Money1,728 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 2004Applied Time Series Econometrics1,200 cited
  • 2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS1,175 cited
  • 1939Speculation and Economic Stability913 cited
  • 1976Speculation and Economic Stability806 cited
  • 2004Informed Trading in Stock and Option Markets750 cited
  • 2002Price discovery and common factor models546 cited
  • 1960Returns to Speculators: Telser versus Keynes312 cited
  • 2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks305 cited
  • 1992Futures Manipulation with "Cash Settlement"242 cited
  • 2002Stalking the “efficient price” in market microstructure specifications: an overview241 cited
  • 2002Measures of contributions to price discovery: a comparison224 cited

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2004
Smooth Transition Regression Modeling
186 cited

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  • 2015Investor structure and the informational efficiency of commodity futures prices24 cited