SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Foreign exchange futures volatility: Day-of-the-week, intraday, and maturity patterns in the presence of macroeconomic announcements
16 references·0 citing·45 second hop
Foreign exchange futures volatility: Day-of-the-week, intraday, and maturity patterns in the presence of macroeconomic announcements (1999)Foreign exchange futures volatility: Day-…Is There Private Information in the FX Market? The Tokyo Experiment (1998)Is There Private Information …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…The Microstructure of Foreign Exchange Markets (1996)The Microstructure of Foreign…Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Rational Asset Price Movements Without News (1992)Rational Asset Price Movement…Periodic market closure and trading volume (1992)Periodic market closure and t…Volatility in the Foreign Currency Futures Market (1991)Volatility in the Foreign Cur…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…What Moves Stock Prices? (1988)What Moves Stock Prices?A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Stock return variances (1986)Stock return variancesA transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets (1984)Marketmaker Behavior in an Au…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The econometrics of ultra-high frequency data /Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Sentiment During Recessions (2012)Asset Prices under Habit Formation and Catching up with the Joneses (1990)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)GMM Estimation of Empirical Growth Models (2001)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators (2003)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The Cross‐Section of Volatility and Expected Returns (2006)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)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)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Statistical aspects of ARCH and stochastic volatility (1996)Order Flow and Exchange Rate Dynamics (1999)
this work references cited by second hop

References

  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1986Stock return variances1,813 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1990A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets788 cited
  • 1992Periodic market closure and trading volume426 cited
  • 1991Volatility in the Foreign Currency Futures Market284 cited
  • 1992Rational Asset Price Movements Without News282 cited
  • 1998Is There Private Information in the FX Market? The Tokyo Experiment279 cited
  • 1996The Microstructure of Foreign Exchange Markets181 cited

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

  • 1984Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets115 cited
  • Cited by

    No citing works inside the corpus for this window.