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Rational speculators and exchange rate volatility
16 references·8 citing·51 second hop
Rational speculators and exchange rate volatility (2000)Rational speculators and exchange rate vo…The advantage to hiding one's hand: Speculation and central bank intervention in the foreign exchange market (1997)The advantage to hiding one's…Two Cases for Sand in the Wheels of International Finance (1995)Two Cases for Sand in the Whe…Tests of microstructural hypotheses in the foreign exchange market (1995)Tests of microstructural hypo…Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks (1995)Exchange Market Mayhem: The A…Fixing Exchange Rates: A Virtual Quest for Fundamentals (1993)Fixing Exchange Rates: A Virt…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Stock Prices and Volume (1992)Stock Prices and VolumeIntra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Business cycles and the exchange-rate regime (1989)Business cycles and the excha…The Foreign Exchange Market: A Random Walk with a Dragging Anchor (1988)The Foreign Exchange Market: …Informational Externalities and Welfare-Reducing Speculation (1987)Informational Externalities a…Stock return variances (1986)Stock return variancesPrice Destabilizing Speculation (1986)Price Destabilizing Speculati…The relationship between volume and price variability in futures markets (1981)The relationship between volu…Speculation, Profitability, and Stability (1957)Speculation, Profitability, a…Relationship between Exchange Rates and Interest Rates: Case of Albania (2015)Relationship between Exchange…Exchange Rates and Outward Foreign Direct Investment: US FDI in Emerging Economies (2009)Exchange Rates and Outward Fo…Short-Run Exchange-Rate Dynamics: Theory and Evidence (2008)Short-Run Exchange-Rate Dynam…Macro lessons from microstructure (2006)Macro lessons from microstruc…Exchange Rate, Equity Prices and Capital Flows (2002)Exchange Rate, Equity Prices …International Integration and Growth: A Survey and Empirical Investigation (2001)International Integration and…Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders (1999)Macroeconomic Implications of…Short-term speculators and the puzzling behaviour of exchange rates (1998)Short-term speculators and th…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)Expectations and Exchange Rate Dynamics (1976)On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)Target Zones and Exchange Rate Dynamics (1991)Currency traders and exchange rate dynamics: a survey of the US market (2001)Terms of trade and exchange rate regimes in developing countries (2003)The Modern History of Exchange Rate Arrangements: A Reinterpretation (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Turbulent cascades in foreign exchange markets (1996)High frequency data in financial markets: Issues and applications (1997)A test for volatility spillover with application to exchange rates (2001)Essays in Positive Economics (1954)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Volume, Volatility, and New York Stock Exchange Trading Halts (1994)A simultaneous trade model of the foreign exchange hot potato (1997)Convergence trading with wealth effects: an amplification mechanism in financial markets (2001)Empirical exchange rate models of the seventies (1983)Political and economic determinants of budget deficits in the industrial democracies (1989)Political and Monetary Institutions and Public Financial Policies in the Industrial Countries (1991)Models of Currency Crises with Self-Fulfilling Features (1995)Is the crisis problem growing more severe? (2001)The Globalization of Liberalization: Policy Diffusion in the International Political Economy (2004)The General Theory of Employment, Interest and Money. (1936)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Fractional Brownian Motions, Fractional Noises and Applications (1968)From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)The Distribution of Exchange Rate Volatility (1999)Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Bayesian Analysis of Stochastic Volatility Models (2002)Risks and Portfolio Decisions Involving Hedge Funds (2003)Market liquidity as a sentiment indicator (2004)Band Spectrum Regression (1974)Trade interdependence and the international business cycle (1993)Exchange rate regime durability and performance in developing versus advanced economies (2004)WILL BUSINESS CYCLES IN THE EURO AREA CONVERGE? A CRITICAL SURVEY OF EMPIRICAL RESEARCH (2007)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Safe Haven Currencies (2010)
this work references cited by second hop

References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1986Stock return variances1,813 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1995Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks1,205 cited
  • 1993Fixing Exchange Rates: A Virtual Quest for Fundamentals613 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • 1995Tests of microstructural hypotheses in the foreign exchange market517 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 1989Business cycles and the exchange-rate regime467 cited
  • 1987Informational Externalities and Welfare-Reducing Speculation433 cited
  • 1995Two Cases for Sand in the Wheels of International Finance399 cited
  • 1988The Foreign Exchange Market: A Random Walk with a Dragging Anchor255 cited
  • 1986Price Destabilizing Speculation239 cited
  • 1957Speculation, Profitability, and Stability141 cited
  • 1981The relationship between volume and price variability in futures markets139 cited
  • 1997

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The advantage to hiding one's hand: Speculation and central bank intervention in the foreign exchange market
137 cited

Cited by

  • 2002Exchange Rate, Equity Prices and Capital Flows79 cited
  • 1999Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders69 cited
  • 2009Exchange Rates and Outward Foreign Direct Investment: US FDI in Emerging Economies49 cited
  • 2006Macro lessons from microstructure44 cited
  • 1998Short-term speculators and the puzzling behaviour of exchange rates44 cited
  • 2001International Integration and Growth: A Survey and Empirical Investigation43 cited
  • 2008Short-Run Exchange-Rate Dynamics: Theory and Evidence37 cited
  • 2015Relationship between Exchange Rates and Interest Rates: Case of Albania16 cited