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Citations for "Liquidity provision in the overnight foreign exchange market"

by Geir Høidal Bjønnes & Dagfinn Rime & Haakon O. Aa. Solheim

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  1. Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers, Business School - Economics, University of Glasgow 2009_25, Business School - Economics, University of Glasgow, revised Feb 2010.
  2. Bacchetta, Philippe & van Wincoop, Eric, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," CEPR Discussion Papers 3808, C.E.P.R. Discussion Papers.
  3. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
  4. Wu, Thomas, 2012. "Order flow in the South: Anatomy of the Brazilian FX market," The North American Journal of Economics and Finance, Elsevier, vol. 23(3), pages 310-324.
  5. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
  6. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Working Papers 07-52, Bank of Canada.
  7. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
  8. Nikola Gradojevic & Christopher J. Neely, 2008. "The dynamic interaction of order flows and the CAD/USD exchange rate," Working Papers 2008-006, Federal Reserve Bank of St. Louis.
  9. Wu, Thomas, 2006. "Order Flow in the South: Anatomy of the Brazilian FX Market," Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz qt1k2250wj, Center for International Economics, UC Santa Cruz.
  10. Boyer, M. Martin & van Norden, Simon, 2006. "Exchange rates and order flow in the long run," Finance Research Letters, Elsevier, Elsevier, vol. 3(4), pages 235-243, December.
  11. Jeffery D. Amato & Andrew Filardo & Gabriele Galati & Goetz von Peter & Feng Zhu, 2005. "Research on exchange rates and monetary policy: an overview," BIS Working Papers 178, Bank for International Settlements.
  12. David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order flow and exchange rate dynamics in electronic brokerage system data," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 830, Board of Governors of the Federal Reserve System (U.S.).
  13. Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers, Brandeis University, Department of Economics and International Businesss School 49, Brandeis University, Department of Economics and International Businesss School.
  14. Emanuel Kohlscheen, 2012. "Order Flow and the Real: Indirect Evidence of the Effectiveness of Sterilized Interventions," Working Papers Series, Central Bank of Brazil, Research Department 273, Central Bank of Brazil, Research Department.
  15. Menkhoff, Lukas & Schmeling, Maik, 2007. "Whose trades convey information? Evidence from a cross-section of traders," Hannover Economic Papers (HEP) dp-357, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  16. Kentaro Iwatsubo & Ian W. Marsh, 2011. "Order Flows, Fundamentals and Exchange Rates," Discussion Papers 1120, Graduate School of Economics, Kobe University.
  17. M. Frömmel & A. Mende & L. Menkhoff, 2007. "Order Flows, News, and Exchange Rate Volatility," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 07/474, Ghent University, Faculty of Economics and Business Administration.
  18. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
  19. Geir H. Bjønnes & Steinar Holden & Dagfinn Rime & Haakon O. Aa. Solheim, 2009. "'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks," CESifo Working Paper Series 2518, CESifo Group Munich.
  20. John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-rate Dynamics: Theory And Evidence," Working Papers, Brandeis University, Department of Economics and International Businesss School 39, Brandeis University, Department of Economics and International Businesss School.
  21. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," Working Papers 2009-07, Economic Research Department, Bank of Thailand.
  22. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers, Brandeis University, Department of Economics and International Businesss School 03, Brandeis University, Department of Economics and International Businesss School.
  23. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  24. Nikola Gradojevic & Camillo Lento, 2012. "Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability," Working Paper Series, The Rimini Centre for Economic Analysis 31_12, The Rimini Centre for Economic Analysis.
  25. Evans, Martin D.D. & Lyons, Richard K., 2005. "Do currency markets absorb news quickly?," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 197-217, March.
  26. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
  27. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2009. "Asymmetric information in the interbank foreign exchange market," Working Paper, Norges Bank 2008/25, Norges Bank.
  28. Yuliya Lovcha & Alejandro Perez-Laborda, 2010. "Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market," MNB Working Papers, Magyar Nemzeti Bank (the central bank of Hungary) 2010/10, Magyar Nemzeti Bank (the central bank of Hungary).
  29. Olivier Damette, 2013. "Mixture distribution hypothesis and the impact of a Tobin tax on exhange rate volatility : a reassessment," Working Papers of BETA 2013-07, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  30. Onur, Esen, 2011. "How much you know matters: A note on the exchange rate disconnect puzzle," MPRA Paper 32772, University Library of Munich, Germany.
  31. King, Michael & Sarno, Lucio & Sojli, Elvira, 2010. "Timing exchange rates using order flow: The case of the Loonie," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2917-2928, December.
  32. Esen Onur, 2008. "The role of asymmetric information among investors in the foreign exchange market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 368-385.
  33. Taylor, Mark P. & Schmidt, Markus & Reitz, Stefan, 2007. "End-user order flow and exchange rate dynamics," Discussion Paper Series 1: Economic Studies 2007,05, Deutsche Bundesbank, Research Centre.
  34. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.