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Assessing the CNH–CNY pricing differential: Role of fundamentals, contagion and policy
16 references·10 citing·46 second hop
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this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2002Introduction to Time Series and Forecasting3,913 cited
  • 2005What matters for financial development? Capital controls, institutions, and interactions2,650 cited
  • 2015Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence2,090 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 2014Cross-Border Banking and Global Liquidity941 cited
  • 2005What Matters for Financial Development? Capital Controls, Institutions, and Interactions658 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • 2006The high-frequency response of exchange rates and interest rates to macroeconomic announcements484 cited
  • 1995The predictive ability of several models of exchange rate volatility371 cited

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

  • 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange339 cited
  • 2010Jumps, cojumps and macro announcements300 cited
  • Cited by

    • 2019Multifractal cross-correlations between the world oil and other financial markets in 2012–201787 cited
    • 2018Recent renminbi policy and currency co-movements63 cited
    • 2017Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates52 cited
    • 2018Renminbi central parity: An empirical investigation42 cited
    • 2021Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate38 cited
    • 2020Connectedness of Asia Pacific forex markets: China's growing influence33 cited
    • 2018The RMB central parity formation mechanism: August 2015 to December 201631 cited
    • 2018Our currency, your attention: Contagion spillovers of investor attention on currency returns30 cited
    • 2017Fluctuation and Reform: A Tale of Two RMB Markets29 cited
    • 2019Choice with Limited Capacity1 cited