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FX Trading and Exchange Rate Dynamics
16 references·0 citing·42 second hop
FX Trading and Exchange Rate Dynamics (2001)FX Trading and Exchange Rate DynamicsInformed trade in spot foreign exchange markets: an empirical investigation (2003)Informed trade in spot foreig…Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen? (2002)Asymmetric information and pr…The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…Is There Private Information in the FX Market? The Tokyo Experiment (1998)Is There Private Information …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)From the bird's eye to the mi…A simultaneous trade model of the foreign exchange hot potato (1997)A simultaneous trade model of…Empirical research on nominal exchange rates (1995)Empirical research on nominal…Bid—ask spreads and volatility in the foreign exchange market (1994)Bid—ask spreads and volatilit…Trading Patterns and Prices in the Interbank Foreign Exchange Market (1993)Trading Patterns and Prices i…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Estimating Continuous-Time Processes Subject to Time Deformation (1988)Estimating Continuous-Time Pr…Rational expectations equilibrium with conditioning on past prices: A mean-variance example (1982)Rational expectations equilib…Limited-dependent and qualitative variables in econometrics (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)ARCH modeling in finance (1992)Dynamics of Trade-by-Trade Price Movements: Decomposition and Models (2003)Forecasting volatility of the U.S. oil market (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)The econometrics of financial markets (1996)The Variation of Certain Speculative Prices (1963)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Institutional Investors and Stock Market Volatility (2006)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Social physics (2022)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)A Theory of Intraday Patterns: Volume and Price Variability (1988)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)The incremental volatility information in one million foreign exchange quotations (1997)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)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)Mixed MNL models for discrete response (2000)Discrete Choice Methods with Simulation (2001)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
this work references cited by second hop

References

  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited
  • 1995Empirical research on nominal exchange rates521 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
  • 1993Trading Patterns and Prices in the Interbank Foreign Exchange Market365 cited
  • 1994Bid—ask spreads and volatility in the foreign exchange market300 cited
  • 1997A simultaneous trade model of the foreign exchange hot potato280 cited
  • 1998Is There Private Information in the FX Market? The Tokyo Experiment279 cited
  • 2003Informed trade in spot foreign exchange markets: an empirical investigation274 cited
  • 1982Rational expectations equilibrium with conditioning on past prices: A mean-variance example188 cited

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1988
Estimating Continuous-Time Processes Subject to Time Deformation
129 cited
  • 2002Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?109 cited
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