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Exchange Rate Changes and Net Positions of Speculators in the Futures Market
10 references·2 citing·44 second hop
Exchange Rate Changes and Net Positions of Speculators in the Futures Market (2004)Exchange Rate Changes and Net Positions o…The out-of-sample success of term structure models as exchange rate predictors: a step beyond (2003)The out-of-sample success of …The behavior and performance of major types of futures traders (2002)The behavior and performance …Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)Micro Effects of Macro Announ…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)Micro Effects of Macro Announ…Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …Exchange Rate Economics: What's Wrong with the Conventional Macro Approach? (1996)Exchange Rate Economics: What…Tests of microstructural hypotheses in the foreign exchange market (1995)Tests of microstructural hypo…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Impact of macro-economic surprises on carry trade activity (2012)Impact of macro-economic surp…Profits and speculation in intra-day foreign exchange trading (2006)Profits and speculation in in…An Intertemporal Capital Asset Pricing Model (1973)Continuous Auctions and Insider Trading (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Fundamentals, Trader Activity and Derivative Pricing (2008)Commodity Investing (2012)The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies (2016)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)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Exchange rate puzzles: A tale of switching attractors (2004)Arbitrage in the Foreign Exchange Market: Turning on the Microscope (2006)Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets (2008)A model of investor sentiment /Discretion versus policy rules in practice (1993)Asset Prices and Exchange Rates (2007)Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices (2010)Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises (2016)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Is Official Exchange Rate Intervention Effective? (2004)Evaluating Direct Multistep Forecasts (2005)Bayesian Model Averaging and exchange rate forecasts (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Currency traders and exchange rate dynamics: a survey of the US market (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)International Liquidity and Exchange Rate Dynamics * (2015)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)Measuring and Testing the Impact of News on Volatility (1993)Time-varying liquidity in foreign exchange (2002)Nonlinear prediction of exchange rates with monetary fundamentals (2003)Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)Long-Run Exchange Rate Modeling: A Survey of the Recent Evidence (1995)Purchasing Power Parity (2003)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1999Order Flow and Exchange Rate Dynamics790 cited
  • 1995Tests of microstructural hypotheses in the foreign exchange market517 cited
  • 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange339 cited
  • 2003The out-of-sample success of term structure models as exchange rate predictors: a step beyond255 cited
  • 1996Exchange Rate Economics: What's Wrong with the Conventional Macro Approach?224 cited
  • 1999Order Flow and Exchange Rate Dynamics183 cited
  • 2002The behavior and performance of major types of futures traders119 cited
  • 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange101 cited

Cited by

  • 2012Impact of macro-economic surprises on carry trade activity36 cited
  • 2006Profits and speculation in intra-day foreign exchange trading30 cited

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