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What drives volatility persistence in the foreign exchange market?☆
16 references·10 citing·46 second hop
What drives volatility persistence in the foreign exchange market?☆ (2009)What drives volatility persistence in the…Spurious Regression in Econometrics (2010)Spurious Regression in Econom…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)Micro Effects of Macro Announ…Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Semiparametric Analysis of Long-Memory Time Series (1994)Semiparametric Analysis of Lo…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The role of binance in bitcoin volatility transmission (2022)The role of binance in bitcoi…Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach (2021)Dynamic efficiency and arbitr…Excess Volatility as an Impediment for a Digital Currency (2017)Excess Volatility as an Imped…Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach (2015)Public information arrival an…High Frequency Analysis of Macro News Releases on the Foreign Exchange Market: A Survey of Literature (2015)High Frequency Analysis of Ma…The market microstructure approach to foreign exchange: Looking back and looking forward (2013)The market microstructure app…Spot and forward volatility in foreign exchange (2011)Spot and forward volatility i…Does FOMC news increase global FX trading? (2011)Does FOMC news increase globa…A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps (2011)A Survey of Announcement Effe…Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets (2009)Testing for intraday interdep…Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The variation of certain speculative prices (1997)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Empirical exchange rate models of the seventies (1983)ARCH modeling in finance (1992)Discretion versus policy rules in practice (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)High-Frequency Trading and Price Discovery (2014)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1999Order Flow and Exchange Rate Dynamics790 cited
  • 2010Spurious Regression in Econometrics705 cited
  • 1994Semiparametric Analysis of Long-Memory Time Series

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468 cited
  • 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange339 cited
  • Cited by

    • 2013The market microstructure approach to foreign exchange: Looking back and looking forward84 cited
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    • 2021Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach68 cited
    • 2009Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets60 cited
    • 2015High Frequency Analysis of Macro News Releases on the Foreign Exchange Market: A Survey of Literature43 cited
    • 2015Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach43 cited
    • 2017Excess Volatility as an Impediment for a Digital Currency38 cited
    • 2022The role of binance in bitcoin volatility transmission37 cited
    • 2011A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps36 cited
    • 2011Does FOMC news increase global FX trading?29 cited