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Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2

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Author Info

  • De Jong, Frank
  • Mahieu, Ronald
  • Schotman, Peter

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File URL: http://www.sciencedirect.com/science/article/B6V9S-3V5WNGS-2/2/995138a804eee19269fdf1c94264eb87
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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 17 (1998)
Issue (Month): 1 (February)
Pages: 5-27

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Handle: RePEc:eee:jimfin:v:17:y:1998:i:1:p:5-27

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Web page: http://www.elsevier.com/locate/inca/30443

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Cited by:
  1. Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper 2013/12, Norges Bank.
  2. Geir H. BjĂžnnes & Carol L. Osler & Dagfinn Rime, 2009. "Asymmetric information in the interbank foreign exchange market," Working Paper 2008/25, Norges Bank.
  3. Richard K. Lyons & Michael J. Moore, 2005. "An Information Approach to International Currencies," NBER Working Papers 11220, National Bureau of Economic Research, Inc.
  4. Jon Danielsson & Richard Payne, 1999. "Real Trading Patterns and Prices in Spot Foreign Exchange Markets," FMG Discussion Papers dp320, Financial Markets Group.
  5. de Jong, Frank & Mahieu, Ronald J & Schotman, Peter C, 1999. "Price Discovery on Foreign Exchange Markets," CEPR Discussion Papers 2296, C.E.P.R. Discussion Papers.
  6. Michele Pasquini & Maurizio Serva, 1999. "Indeterminacy in foreign exchange market," Papers cond-mat/9906343, arXiv.org.
  7. Covrig, Vicentiu & Melvin, Michael, 2002. "Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 271-285, August.
  8. Tse, Yiuman & Xiang, Ju, 2005. "Market quality and price discovery: Introduction of the E-mini energy futures," Global Finance Journal, Elsevier, vol. 16(2), pages 164-179, December.
  9. Andersson, Jonas, 2007. "On the estimation of correlations for irregularly spaced time series," Discussion Papers 2007/19, Department of Business and Management Science, Norwegian School of Economics.
  10. Quan Hoang Vuong, 2004. "Analyses on Gold and US Dollar in Vietnam's Transitional Economy," Working Papers CEB 04-033.RS, ULB -- Universite Libre de Bruxelles.

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