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Analysis of spreads in the dollar/euro and deutschemark/dollar foreign exchange markets
10 references·1 citing·47 second hop
Analysis of spreads in the dollar/euro and deutschemark/dollar foreign exchange markets (2002)Analysis of spreads in the dollar/euro an…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Market microstructure: A survey (2000)Market microstructure: A surv…Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE (2000)Eighths, sixteenths, and mark…An International Role for the Euro? (1999)An International Role for the…The emergence of the euro as an international currency (1998)The emergence of the euro as …The Microstructure of Foreign Exchange Dynamics (1997)The Microstructure of Foreign…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…Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Why do NASDAQ Market Makers A…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …The electronic trading systems and bid-ask spreads in the foreign exchange market (2010)The electronic trading system…A Non-cooperative Equilibrium for Supergames (1971)An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Presidential Address: Friction (2000)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Testing for a unit root in variables with a double change in the mean (1998)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)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)G7 Current Account Imbalances: Sustainability and AdjustmentOn Money as a Medium of Exchange (1989)Trading Volume and Asset Liquidity (1989)European Monetary Union: the dark sides of a major success (2006)Financial Flows and the International Monetary System (2015)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Safe Haven Currencies (2010)Common risk factors in the returns on stocks and bonds (1993)Order imbalance, liquidity, and market returns (2002)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Corporate Bond Market Transaction Costs and Transparency (2007)Liquidity and Market Structure (1988)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Sixteenths: direct evidence on institutional execution costs (2001)Equilibrium in a Dynamic Limit Order Market (2005)The Diversity of High Frequency Traders (2012)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)FX Trading and Exchange Rate Dynamics (2001)Private or Public Information in Foreign Exchange Markets? An Empirical Analysis (2001)Short-Run Exchange-Rate Dynamics: Theory and Evidence (2008)Enlargement and the international role of the euro1 (2007)Dollar Dominance, Euro Aspirations: Recipe for Discord? (2009)Why Is the Euro Punching Below Its Weight? (2020)
this work references cited by second hop

References

  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 2000Market microstructure: A survey1,133 cited
  • 1994Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes?746 cited
  • 1995Tests of microstructural hypotheses in the foreign exchange market517 cited
  • 2000Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE444 cited
  • 1998The emergence of the euro as an international currency327 cited
  • 1999An International Role for the Euro?49 cited
  • 1997The Microstructure of Foreign Exchange Dynamics39 cited

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  • 2010The electronic trading systems and bid-ask spreads in the foreign exchange market18 cited

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