Trading Activity and Exchange Rates in High-Frequency EBS Data
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Publisher
Elsevier BV
Reference19 articles.
1. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange;T G Andersen;American Economic Review,2003
2. Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?;P Bacchetta;American Economic Review,2006
3. Public Information Arrival;T D Berry;Journal of Finance,1994
4. Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data
5. Trading Patterns and Prices in the Interbank Foreign Exchange Market;T Bollerslev;Journal of Finance,1993
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1. Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements;The North American Journal of Economics and Finance;2017-11
2. Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums;The Journal of Finance;2013-09-10
3. Trading Activity and Macroeconomic Announcements in High-Frequency Exchange Rate Data;Journal of the European Economic Association;2008-04
4. Robust Estimation of Intraweek Periodicity in Volatility and Jump Detection;SSRN Electronic Journal;2008
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