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Every minute counts in financial markets

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References

1988Testing for a Unit Root in Time Series Regression19,288 cited
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1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
1988Permanent and Temporary Components of Stock Prices3,036 cited
1987Time Series Regression with a Unit Root2,821 cited
1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
1988Mean reversion in stock prices1,888 cited
1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
1986Understanding spurious regressions in econometrics1,782 cited
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1988How Big Is the Random Walk in GNP?1,270 cited
1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test735 cited
1978Purchasing power parity557 cited
1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited

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2004

The Economics of Exchange Rates

435 cited

Cited by

1995Fractals and Intrinsic Time - a Challenge to Econometricians258 cited
2004Exchange rate puzzles: A tale of switching attractors258 cited
2000Public Information Arrival, Exchange Rate Volatility, and Quote Frequency188 cited
1993News effects in a high‐frequency model of the sterling‐dollar exchange rate144 cited
2003Intraday technical trading in the foreign exchange market132 cited
2001Consistent High‐precision Volatility from High‐frequency Data126 cited
2002A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility121 cited
1999FX Spreads and Dealer Competition Across the 24-Hour Trading Day118 cited
1993Tests of Microstructural Hypotheses in the Foreign Exchange Market113 cited
2001The Microstructure of the Foreign-Exchange Market: A Selective Survey of the Literature110 cited
1994Stylized Facts of Nominal Exchange Rate Returns110 cited
1997Scaling in currency exchange107 cited
2005Trading Volumes, Volatility and Spreads in Foreign Exchange Markets: Evidence from Emerging Market Countries87 cited
2013The market microstructure approach to foreign exchange: Looking back and looking forward84 cited
1998Profits and position control: a week of FX dealing80 cited
2010The foreign exchange market: return distributions, multifractality, anomalous multifractality and the Epps effect80 cited