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Tokyo insiders and the informational efficiency of the yen/dollar exchange rate
13 references·1 citing·37 second hop
Tokyo insiders and the informational efficiency of the yen/dollar exchange rate (2005)Tokyo insiders and the informational effi…Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen? (2002)Asymmetric information and pr…Is There Private Information in the FX Market? The Tokyo Experiment (1998)Is There Private Information …Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market (1997)Informed Traders, Interventio…The Education of a Speculator (1996)The Education of a SpeculatorMarket Microstructure Theory. (1996)Market Microstructure Theory.High-Frequency Data and Volatility in Foreign-Exchange Rates (1996)High-Frequency Data and Volat…Market microstructure theory (1995)Market microstructure theoryPeriodic market closure and trading volume (1992)Periodic market closure and t…Risk Aversion, Market Liquidity, and Price Efficiency (1991)Risk Aversion, Market Liquidi…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Asymmetric Information in the Interbank Foreign Exchange Market (2008)Asymmetric Information in the…A Theory of the Term Structure of Interest Rates (1985)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Differences of Opinion Make a Horse Race (1993)Scaling behaviour in the dynamics of an economic index (1995)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Empirical exchange rate models of the seventies (1983)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Information aggregation in a noisy rational expectations economy (1981)Noise (1986)Time and the Process of Security Price Adjustment (1992)Information Asymmetry, R&D, and Insider Gains (2000)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Investment analysis and price formation in securities markets (1995)Trade Size and Components of the Bid-Ask Spread (1995)Liquidity of emerging markets (2005)Market structure, information, futures markets, and price formation. (1984)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)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)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Behavior of Stock-Market Prices (1965)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Order Flow and Exchange Rate Dynamics (2002)Is Information Risk a Determinant of Asset Returns? (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Introductory Econometrics for Finance (2008)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)Liquidity, Information, and Infrequently Traded Stocks (1996)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1995Market microstructure theory1,307 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1996Market Microstructure Theory.1,204 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 1996High-Frequency Data and Volatility in Foreign-Exchange Rates570 cited
  • 1992Periodic market closure and trading volume426 cited
  • 1991Risk Aversion, Market Liquidity, and Price Efficiency341 cited
  • 1998Is There Private Information in the FX Market? The Tokyo Experiment279 cited
  • 1997Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market236 cited
  • 2002Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?109 cited
  • 1996The Education of a Speculator32 cited

Cited by

  • 2008Asymmetric Information in the Interbank Foreign Exchange Market17 cited

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