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Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability
16 references·0 citing·40 second hop
Random Walk or A Run: Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability (2008)Random Walk or A Run: Market Microstructu…The Long Memory of the Efficient Market (2004)The Long Memory of the Effici…Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fluctuations and response in …The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…High frequency data in financial markets: Issues and applications (1997)High frequency data in financ…Tests of microstructural hypotheses in the foreign exchange market (1995)Tests of microstructural hypo…Empirical research on nominal exchange rates (1995)Empirical research on nominal…Can the Markov switching model forecast exchange rates? (1994)Can the Markov switching mode…Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Variations in Trading Volume,…Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification? (1982)The Out-of-Sample Failure of …Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)The econometrics of ultra-high frequency data /Stock returns and the weekend effect (1980)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)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)Inferring Trade Direction from Intraday Data (1991)Trade Size and Components of the Bid-Ask Spread (1995)Time and the Price Impact of a Trade (2000)Pricing the commonality across alternative measures of liquidity (2007)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)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)Order Flow and Exchange Rate Dynamics (1999)Market microstructure: A survey (2000)Common Risk Factors in Currency Markets (2011)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)Mixed MNL models for discrete response (2000)Discrete Choice Methods with Simulation (2001)Stock Market Structure and Volatility (1990)Predicting stock market volatility: A new measure (1995)
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References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1993Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models624 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1995Empirical research on nominal exchange rates521 cited
  • 1995Tests of microstructural hypotheses in the foreign exchange market517 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 1982The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?424 cited
  • 1994Can the Markov switching model forecast exchange rates?415 cited
  • 1997High frequency data in financial markets: Issues and applications411 cited
  • 2004

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The Long Memory of the Efficient Market
365 cited
  • 2004Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes295 cited
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