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The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement

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Author Info
 McFarland, James W
Pettit, R Richardson
Sung, Sam K
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 37 (1982)
Issue (Month): 3 (June)
Pages: 693-715
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Handle: RePEc:bla:jfinan:v:37:y:1982:i:3:p:693-715

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  1. Henriksson, Roy. & Lessard, Donald R., 1982. "The efficiency of the forward exchange market : a conditional nonparametric test of forecasting ability," Working papers 1337-82., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  2. Mazumder, M. Imtiaz & Miller, Edward M. & Varela, Oscar Albert, 2005. "The weekend trading profitability: evidence from international mutual funds," Working Papers 2004-10, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  3. William P. Osterberg & Rebecca Wetmore Humes, 1995. "More on the differences between reported and actual U.S. central bank foreign exchange intervention," Working Paper 9501, Federal Reserve Bank of Cleveland. [Downloadable!]
  4. Richard T. Baillie & William P. Osterberg, 1998. "Central bank intervention and overnight uncovered interest rate parity," Working Paper 9823, Federal Reserve Bank of Cleveland. [Downloadable!]
  5. Takatoshi Ito & V. Vance Roley, 1991. "Intraday Yen/Dollar Exchange Rate Movements: News or Noise?," NBER Working Papers 2703, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Gordon Tang, 1998. "Weekly Pattern of Exchange Rate Risks: Evidence from Ten Asian-Pacific Currencies," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 261-274, November. [Downloadable!] (restricted)
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This page was last updated on 2008-11-26.

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