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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 2296.

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Date of creation: Nov 1999
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Handle: RePEc:cpr:ceprdp:2296

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Related research

Keywords: Exchange Rates; High Frequency Data; Microstructure; Moment Estimators;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
F31 - International Economics - - International Finance - - - Foreign Exchange

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1. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(3), pages 571-95. [Downloadable!] (restricted)
2. Hasbrouck, Joel, 1993. "Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 6(1), pages 191-212. [Downloadable!] (restricted)
3. Goodhart, Charles, 1988. "The Foreign Exchange Market: A Random Walk with a Dragging Anchor," Economica, London School of Economics and Political Science, vol. 55(220), pages 437-60, November. [Downloadable!] (restricted)
4. Lyons, Richard K., 1995. "Tests of microstructural hypotheses in the foreign exchange market," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 321-351. [Downloadable!] (restricted)
   Other versions:
   • Richard K. Lyons., 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," Research Program in Finance Working Papers RPF-230, University of California at Berkeley.
   • Richard K. Lyons, 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," NBER Working Papers 4471, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
5. Richard K. Lyons, 2006. "The Microstructure Approach to Exchange Rates," MIT Press Books, The MIT Press, edition 1, volume 1, number 026262205x, December.
6. Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1998. "Is There Private Information in the FX Market? The Tokyo Experiment," Journal of Finance, American Finance Association, vol. 53(3), pages 1111-1130, 06. [Downloadable!] (restricted)
   Other versions:
   • Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996. "Is There Private Information in the FX Market? The Tokyo Experiment," Working Papers _005, University of California at Berkeley, Haas School of Business. [Downloadable!]
   • Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1997. "Is There Private Information in the FX Market? The Tokyo Experiment," NBER Working Papers 5936, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Ito, T. & Lyons, R. & Melvin, M.T., 1997. "Is There Private Information on the FX Market? The Tokyo Experiment," Papers 97-04, Economisch Institut voor het Midden en Kleinbedrijf-.
   • Takatoshi Ito Richard K. Lyons and Michael T. Melvin., 1997. "Is There Private Information in the FX Market? The Tokyo Experiment," Research Program in Finance Working Papers RPF-270, University of California at Berkeley. [Downloadable!]
   • Takatosh Ito & Richard K. Lyons & Michael T. Melvin, 1997. "Is there private information in the FX market? the Tokyo experiment," Pacific Basin Working Paper Series 97-04, Federal Reserve Bank of San Francisco. [Downloadable!]
7. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June. [Downloadable!] (restricted)
8. Lyons, Richard K., 1997. "A simultaneous trade model of the foreign exchange hot potato," Journal of International Economics, Elsevier, vol. 42(3-4), pages 275-298, May. [Downloadable!] (restricted)
9. de Jong, Frank & Nijman, Theo, 1997. "High frequency analysis of lead-lag relationships between financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 259-277, June. [Downloadable!] (restricted)
   Other versions:
   • Jong, F. de & Nijman, T., 1995. "High frequency analysis of lead-lag relationships between financial markets," Discussion Paper 34, Tilburg University, Center for Economic Research. [Downloadable!]
10. Huang, Roger D & Masulis, Ronald W, 1999. "FX Spreads and Dealer Competition across the 24-Hour Trading Day," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(1), pages 61-93.

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