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Do Financial Market Variables Show Indicator Properties Relative to Exchange Rate Returns?

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  • Olli Castrén

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    File URL: http://hdl.handle.net/10.1007/s10290-006-0061-0
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    Bibliographic Info

    Article provided by Springer in its journal Review of World Economics.

    Volume (Year): 142 (2006)
    Issue (Month): 1 (April)
    Pages: 165-180

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    Handle: RePEc:spr:weltar:v:142:y:2006:i:1:p:165-180

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    Related research

    Keywords: Exchange rates; asset prices; capital flows; market microstructure; GMM; logit estimation;

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    1. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    2. Stephen Morris & Hyun Song Shin, 2003. "Liquidity Black Holes," Cowles Foundation Discussion Papers 1434, Cowles Foundation for Research in Economics, Yale University.
    3. Hau, Harald & Rey, Hélène, 2003. "Exchange Rates, Equity Prices and Capital Flows," CEPR Discussion Papers 3735, C.E.P.R. Discussion Papers.
    4. Robin Brooks & Torsten Sløk & Manmohan S. Kumar & Hali J. Edison, 2001. "Exchange Rates and Capital Flows," IMF Working Papers 01/190, International Monetary Fund.
    5. Jorion, Philippe, 1995. " Predicting Volatility in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 50(2), pages 507-28, June.
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