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Elvira Sojli

Personal Details

First Name:Elvira
Middle Name:
Last Name:Sojli
Suffix:
RePEc Short-ID:pso411
http://www.rsm.nl/people/elvira-sojli/

Affiliation

(50%) Department of Finance
Rotterdam School of Management (RSM Erasmus University)
Erasmus Universiteit Rotterdam

Rotterdam, Netherlands
http://www.rsm.nl/home/faculty/academic_departments/finance

: +31 (0)10 408 2585
+31 (0)10 408 9020
P.O. Box 1738, 3000 DR Rotterdam
RePEc:edi:dfmeunl (more details at EDIRC)

(50%) Erasmus Research Institute of Management (ERIM)
Erasmus Universiteit Rotterdam

Rotterdam, Netherlands
http://www.erim.eur.nl/

: 31-10-408 1182
31-10-408 9020
RSM Erasmus University & Erasmus School of Economics, PoBox 1738, 3000 DR Rotterdam
RePEc:edi:erimanl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013. "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers 13-156/IV/DSF64, Tinbergen Institute.
  2. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012. "Identifying cross-sided liquidity externalities," Working Paper 2012/20, Norges Bank.
  3. Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012. "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers 12-140/IV/DSF46, Tinbergen Institute.
  4. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011. "Sunshine trading: Flashes of trading intent at the NASDAQ," Working Paper 2011/17, Norges Bank.
  5. Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper 2007/02, Norges Bank.
  6. Erjon Luci & Marta Muco & Elvira Sojli, 2006. "Euroisation in Albania: From Spontaneous to Consensual," wiiw Balkan Observatory Working Papers 71, The Vienna Institute for International Economic Studies, wiiw.

Articles

  1. Skjeltorp, Johannes A. & Sojli, Elvira & Tham, Wing Wah, 2016. "Flashes of Trading Intent at NASDAQ," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(01), pages 165-196, February.
  2. Liao, Shuyu & Sojli, Elvira & Tham, Wing Wah, 2015. "Managing systemic risk in The Netherlands," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 231-245.
  3. Sojli, Elvira & Tham, Wing Wah, 2015. "Divided governments and futures prices," Journal of Econometrics, Elsevier, vol. 187(2), pages 622-633.
  4. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  5. 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.
  6. 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.
  7. Lucio Sarno & Elvira Sojli, 2009. "The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 437-442, March.
  8. Elvira Sojli, 2007. "Contagion in emerging markets: the Russian crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 197-213.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel, 2013. "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers 13-156/IV/DSF64, Tinbergen Institute.

    Cited by:

    1. Ripamonti, Alexandre, 2016. "Corwin-Schultz bid-ask spread estimator in the Brazilian stock market," MPRA Paper 79459, University Library of Munich, Germany.

  2. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012. "Identifying cross-sided liquidity externalities," Working Paper 2012/20, Norges Bank.

    Cited by:

    1. Delphine Lahet & Anne-Gaël Vaubourg, 2015. "Banks' shareholding in multilateral trading facilities: A two-sided market perspective," Economics Bulletin, AccessEcon, vol. 35(3), pages 1949-1960.
    2. Peter Lerner, 2015. "Patience vs. impatience of traders: Formation of the value-at-price distribution through competition for liquidity," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-30.
    3. Marios Panayides & Barbara Rindi & Ingrid M. Werner, 2017. "Trading Fees and Intermarket Competition," Working Papers 595, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

  3. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011. "Sunshine trading: Flashes of trading intent at the NASDAQ," Working Paper 2011/17, Norges Bank.

    Cited by:

    1. Hoffmann, Peter, 2013. "A dynamic limit order market with fast and slow traders," Working Paper Series 1526, European Central Bank.
    2. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012. "Identifying cross-sided liquidity externalities," Working Paper 2012/20, Norges Bank.
    3. Hoffmann, Peter, 2012. "A dynamic limit order market with fast and slow traders," MPRA Paper 39855, University Library of Munich, Germany.
    4. Hoffmann, Peter, 2012. "A dynamic limit order market with fast and slow traders," MPRA Paper 44621, University Library of Munich, Germany, revised Jan 2013.

  4. Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper 2007/02, Norges Bank.

    Cited by:

    1. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
    2. Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
    3. Kitamura, Yoshihiro, 2017. "Simple measures of market efficiency: A study in foreign exchange markets," Japan and the World Economy, Elsevier, vol. 41(C), pages 1-16.
    4. Kitamura, Yoshihiro, 2016. "The probability of informed trading measured with price impact, price reversal, and volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 77-90.
    5. Sojli, Elvira & Tham, Wing Wah, 2015. "Divided governments and futures prices," Journal of Econometrics, Elsevier, vol. 187(2), pages 622-633.
    6. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    7. Michael R. King & Carol Osler & Dagfinn Rime, 2011. "Foreign exchange market structure, players and evolution," Working Paper 2011/10, Norges Bank.
    8. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    9. Mario Cerrato & Nicholas Sarantis & Alex Saunders, 2009. "An investigation of customer order flow in the foreign exchange market," Working Papers 2009_25, Business School - Economics, University of Glasgow, revised Feb 2010.
    10. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations and economic policy uncertainty," European Journal of Political Economy, Elsevier, vol. 47(C), pages 148-162.
    11. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
    12. Buncic, Daniel & Piras, Gion Donat, 2014. "Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability," Economics Working Paper Series 1436, University of St. Gallen, School of Economics and Political Science, revised Oct 2015.
    13. Mizrach, Bruce & Otsubo, Yoichi, 2014. "The market microstructure of the European climate exchange," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 107-116.
    14. Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2010. "Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts," SIRE Discussion Papers 2010-107, Scottish Institute for Research in Economics (SIRE).
    15. Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
    16. Balke, Nathan S. & Ma, Jun & Wohar, Mark E., 2013. "The contribution of economic fundamentals to movements in exchange rates," Journal of International Economics, Elsevier, vol. 90(1), pages 1-16.
    17. Beckmann, Joscha & Czudaj, Robert, 2016. "The impact of uncertainty on professional exchange rate forecasts," Ruhr Economic Papers 637, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    18. Roache, Shaun K. & Rossi, Marco, 2010. "The effects of economic news on commodity prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 377-385, August.
    19. Carol Osler & Alasdair Turnbull, 2016. "Dealer Trading at the Fix," Working Papers 101R, Brandeis University, Department of Economics and International Businesss School, revised Jun 2017.
    20. Lukas Menkhoff & Carol L. Osler & Maik Schmeling, 2010. "Limit-Order Submission Strategies under Asymmetric Information," CESifo Working Paper Series 3054, CESifo Group Munich.
    21. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    22. Barry A. Goss & S. Gulay Avsar, 2016. "Can Economists Forecast Exchange Rates? The Debate Re-Visited: The Case of the USD/GBP Market," Australian Economic Papers, Wiley Blackwell, vol. 55(1), pages 14-28, March.
    23. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Businesss School.
    24. Nikola Gradojevic & Camillo Lento, 2015. "Multiscale analysis of foreign exchange order flows and technical trading profitability," Post-Print hal-01563053, HAL.
    25. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij, 2015. "Private information, capital flows, and exchange rates," Working Papers 2015-12, Swiss National Bank.
    26. José Eduardo Gómez-González & Andrés F. García-Suaza, 2012. "A Simple Test of Momentum in Foreign Exchange Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(5), pages 66-77, September.
    27. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
    28. Elaut, Gert & Frömmel, Michael & Lampaert, Kevin, 2018. "Intraday momentum in FX markets: Disentangling informed trading from liquidity provision," Journal of Financial Markets, Elsevier, vol. 37(C), pages 35-51.
    29. Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2017. "When the Walk Is Not Random: Commodity Prices and Exchange Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 121-158, June.
    30. Lubomír Skoupil, 2015. "Hedger Behaviour and Its Impact on Order Flow and Exchange Rate on Foreign Exchange Markets," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2015(6), pages 3-20.
    31. Theophilos Papadimitriou & Periklis Gogas & Vasilios Plakandaras, 2016. "Testing Exchange Rate Models in a Small Open Economy: an SVR Approach," Bulletin of Applied Economics, Risk Market Journals, vol. 3(2), pages 9-29.
    32. Carol Osler & Geir Bjonnes & Neophytos Kathitziotis, 2016. "Bid-Ask Spreads in OTC Markets," Working Papers 102, Brandeis University, Department of Economics and International Businesss School.
    33. Wagner, Christian, 2009. "Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation," MPRA Paper 21125, University Library of Munich, Germany.
    34. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    35. Vasilios Plakandaras & Theophilos Papadimitriou & Periklis Gogas & Konstantinos Diamantaras, 2014. "Market Sentiment and Exchange Rate Directional Forecasting," Working Paper series 37_14, Rimini Centre for Economic Analysis.
    36. Claessens, Stijn & Kose, Ayhan, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    37. Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," Les Cahiers de Recherche 1040, HEC Paris.
    38. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    39. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Businesss School.
    40. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2014. "Exchange rate forecasts and expected fundamentals," Kiel Working Papers 1974, Kiel Institute for the World Economy (IfW).
    41. Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.
    42. Kleinbrod, Vincent M. & Li, Xiao-Ming, 2017. "Order flow and exchange rate comovement," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 199-215.
    43. Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers 49, Brandeis University, Department of Economics and International Businesss School.
    44. 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.
    45. Martin Evans, 2008. "Order Flows and The Exchange Rate Disconnect Puzzle," Working Papers gueconwpa~08-08-05, Georgetown University, Department of Economics.
    46. Christopher J. Neely & Paul A. Weller, 2011. "Technical analysis in the foreign exchange market," Working Papers 2011-001, Federal Reserve Bank of St. Louis.
    47. Ingrid Lo & Stephen Sapp, 2011. "Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market," Staff Working Papers 11-8, Bank of Canada.
    48. Carol Osler, 2012. "Market Microstructure and the Profitability of Currency Trading," Working Papers 48, Brandeis University, Department of Economics and International Businesss School.
    49. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
    50. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
    51. Zi-Yi Guo, 2017. "Order Flow and Exchange Rate Dynamics in Continuous Time: New Evidence from Martingale Regression," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 507-512.
    52. Vasios, Michalis & Payne, Richard & Nolte, Ingmar, 2015. "Profiting from Mimicking Strategies in Non-Anonymous Markets," MPRA Paper 61710, University Library of Munich, Germany.
    53. Carol Osler, 2016. "Dealer Trading at the Fix," Working Papers 101, Brandeis University, Department of Economics and International Businesss School.
    54. : Roman Kozhan & Mark Salmon, 2010. "The information Content of a Limit Order Book:the Case of an FX Market," Working Papers wpn10-05, Warwick Business School, Finance Group.
    55. Marialuz Moreno Badia & Alex Segura-Ubiergo, 2014. "Real Exchange Rate Appreciation in Emerging Markets; Can Fiscal Policy Help?," IMF Working Papers 14/1, International Monetary Fund.
    56. Matthias Gubler, 2014. "Carry Trade Activities: A Multivariate Threshold Model Analysis," Working Papers 2014-06, Swiss National Bank.
    57. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.
    58. Muhammad Ishfaq & Zhang Bi Qiong & Syed Mehmood Raza Shah, 2017. "Global Macroeconomic Announcements and Foreign Exchange Implied Volatility," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 119-127.
    59. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
    60. 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.
    61. Masayuki Susai & Yushi Yoshida, 2012. "Central bank interventions and limit order behavior in the foreign exchange market," Discussion Papers 56, Kyushu Sangyo University, Faculty of Economics.
    62. Manish KUMAR, 2009. "Exploiting The Information Of Stock Market To Forecast Exchange Rate Movements," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 563-575, November.
    63. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP) dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    64. Theophilos Papadimitriou & Periklis Gogas & Vasilios Plakandaras, 2013. "Forecasting the NOK/USD Exchange Rate with Machine Learning Techniques," Working Paper series 59_13, Rimini Centre for Economic Analysis.
    65. Evans, Kevin P. & Speight, Alan E.H., 2010. "Dynamic news effects in high frequency Euro exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 238-258, July.
    66. Guo, Zi-Yi, 2017. "Martingale Regressions for a Continuous Time Model of Exchange Rates," EconStor Open Access Articles, ZBW - German National Library of Economics, pages 40-45.
    67. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    68. Alberto Caruso, 2016. "The Impact of Macroeconomic News on the Euro-Dollar Exchange Rate," Working Papers ECARES ECARES 2016-32, ULB -- Universite Libre de Bruxelles.
    69. 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.
    70. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Does investor attention matter? The attention-return relationships in FX markets," Economic Modelling, Elsevier, vol. 68(C), pages 644-660.
    71. Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Macroeconomic and market microstructure modelling of Ugandan exchange rate," Economic Modelling, Elsevier, vol. 45(C), pages 175-186.
    72. Christopher J. Neely & S. Rubun Dey, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 417-464.
    73. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.
    74. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2011. "Individual exchange rate forecasts and expected fundamentals," ZEW Discussion Papers 11-062, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

  5. Erjon Luci & Marta Muco & Elvira Sojli, 2006. "Euroisation in Albania: From Spontaneous to Consensual," wiiw Balkan Observatory Working Papers 71, The Vienna Institute for International Economic Studies, wiiw.

    Cited by:

    1. Edlira Narazani, 2013. "A Micro Level Perspective of Euroization in Albania," wiiw Balkan Observatory Working Papers 109, The Vienna Institute for International Economic Studies, wiiw.
    2. World Bank, 2010. "Albania - The New Growth Agenda : A Country Economic Memorandum," World Bank Other Operational Studies 2935, The World Bank.
    3. Olta Manjani, "undated". "Estimating the Determinants of Financial Euroization in Albania," IHEID Working Papers 07-2015, Economics Section, The Graduate Institute of International Studies.

Articles

  1. Liao, Shuyu & Sojli, Elvira & Tham, Wing Wah, 2015. "Managing systemic risk in The Netherlands," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 231-245.

    Cited by:

    1. Shawkat Hammoudeh & Michael McAleer, 2014. "Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview," Documentos de Trabajo del ICAE 2014-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.

  2. Sojli, Elvira & Tham, Wing Wah, 2015. "Divided governments and futures prices," Journal of Econometrics, Elsevier, vol. 187(2), pages 622-633.

    Cited by:

    1. Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
    2. Chang, C-L. & McAleer, M.J., 2014. "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers EI 2015-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  3. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
    See citations under working paper version above.
  4. 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.

    Cited by:

    1. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    2. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
    3. Ligon, James A. & Liu, Hao-Chen, 2013. "The relation of trade size and price contribution in a traditional foreign exchange brokered market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1024-1045.
    4. Martin Evans & Dagfinn Rime, 2015. "Order Flow Information and Spot Rate Dynamics," Working Papers gueconwpa~15-15-02, Georgetown University, Department of Economics.
    5. Michael R. King & Carol Osler & Dagfinn Rime, 2011. "Foreign exchange market structure, players and evolution," Working Paper 2011/10, Norges Bank.
    6. Martin D. D. Evans & Dagfinn Rime, 2011. "Micro approaches to foreign exchange determination," Working Paper 2011/05, Norges Bank.
    7. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations and economic policy uncertainty," European Journal of Political Economy, Elsevier, vol. 47(C), pages 148-162.
    8. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
    9. Kang-Soek Lee, 2017. "Safe-haven currency: An empirical identification," Review of International Economics, Wiley Blackwell, vol. 25(4), pages 924-947, September.
    10. Nikola Gradojevic & Camillo Lento, 2015. "Multiscale analysis of foreign exchange order flows and technical trading profitability," Post-Print hal-01563053, HAL.
    11. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij, 2015. "Private information, capital flows, and exchange rates," Working Papers 2015-12, Swiss National Bank.
    12. Kentaro Iwatsubo & Ian W. Marsh, 2014. "Order Flows, Fundamentals And Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(4), pages 251-266, October.
    13. Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2017. "When the Walk Is Not Random: Commodity Prices and Exchange Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 121-158, June.
    14. Batten, Jonathan A. & Kinateder, Harald & Wagner, Niklas, 2014. "Multifractality and value-at-risk forecasting of exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 71-81.
    15. M. Frömmel & F Van Gysegem, 2014. "Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/878, Ghent University, Faculty of Economics and Business Administration.
    16. Vasilios Plakandaras & Theophilos Papadimitriou & Periklis Gogas & Konstantinos Diamantaras, 2014. "Market Sentiment and Exchange Rate Directional Forecasting," Working Paper series 37_14, Rimini Centre for Economic Analysis.
    17. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    18. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Businesss School.
    19. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2014. "Exchange rate forecasts and expected fundamentals," Kiel Working Papers 1974, Kiel Institute for the World Economy (IfW).
    20. Evans, Kevin P., 2011. "Intraday jumps and US macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2511-2527, October.
    21. Banti, Chiara & Phylaktis, Kate & Sarno, Lucio, 2012. "Global liquidity risk in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 267-291.
    22. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
    23. Masayuki Susai & Yushi Yoshida, 2012. "Central bank interventions and limit order behavior in the foreign exchange market," Discussion Papers 56, Kyushu Sangyo University, Faculty of Economics.
    24. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    25. Moore, Michael J. & Payne, Richard, 2011. "On the sources of private information in FX markets," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1250-1262, May.
    26. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
    27. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.

  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.
    See citations under working paper version above.
  6. Lucio Sarno & Elvira Sojli, 2009. "The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 437-442, March.

    Cited by:

    1. Kano, Takashi & Morita, Hiroshi, 2015. "An equilibrium foundation of the Soros chart," Journal of the Japanese and International Economies, Elsevier, vol. 37(C), pages 21-42.
    2. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
    3. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," Working Papers 2009-07, Monetary Policy Group, Bank of Thailand.
    4. Dimitris Christopoulos & Miguel A. León-Ledesma, 2009. "On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think," Studies in Economics 0909, School of Economics, University of Kent.
    5. Balke, Nathan S. & Ma, Jun & Wohar, Mark E., 2013. "The contribution of economic fundamentals to movements in exchange rates," Journal of International Economics, Elsevier, vol. 90(1), pages 1-16.
    6. Beckmann, Joscha & Czudaj, Robert, 2016. "The impact of uncertainty on professional exchange rate forecasts," Ruhr Economic Papers 637, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    7. Sarno, Lucio & Schmeling, Maik, 2013. "Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective," CEPR Discussion Papers 9472, C.E.P.R. Discussion Papers.
    8. Kano, Takashi, 2014. "Exchange Rates and Fundamentals: Closing a Two-country Model," Discussion Papers 2013-07, Graduate School of Economics, Hitotsubashi University.
    9. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij, 2015. "Private information, capital flows, and exchange rates," Working Papers 2015-12, Swiss National Bank.
    10. Claessens, Stijn & Kose, Ayhan, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    11. ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013. "Dynamic expectation formation in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 75-97.
    12. Hsing, Yu, 2016. "Comparison of the Fundamental and Monetary Models of the Determinants of the Argentine Peso/US Dollar Exchange Rate," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(4), pages 379-388.
    13. Anna Naszódi, 2011. "Testing the asset pricing model of exchange rates with survey data," MNB Working Papers 2011/2, Magyar Nemzeti Bank (Central Bank of Hungary).
    14. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
    15. Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun, 2017. "Foreign exchange predictability and the carry trade: A decomposition approach," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 199-211.
    16. Lorenzo Pozzi & Barbara Sadaba, 2017. "Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals," Staff Working Papers 17-22, Bank of Canada.
    17. KANO, Takashi, 2016. "Exchange Rates and Fundamentals: A General Equilibrium Exploration," Discussion paper series HIAS-E-19, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    18. Shiu-Sheng Chen & Yu-Hsi Chou, 2010. "Exchange Rates and Fundamentals: Evidence from Long-Horizon Regression Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 63-88, February.

  7. Elvira Sojli, 2007. "Contagion in emerging markets: the Russian crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 197-213.

    Cited by:

    1. HEGERTY, Scott W., 2014. "Exchange Market Pressure And Regional Price Spillovers In Russia, Ukraine, And Belarus," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 14(2).
    2. Renée Fry & Cody Yu-Ling Hsiao & Chrismin Tang, 2011. "Actually This Time Is Different," CAMA Working Papers 2011-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
    4. Wasim Ahmad & N.R. Bhanumurthy & Sanjay Sehgal, 2014. "The Eurozone crisis and its contagion effects on the European stock markets," Studies in Economics and Finance, Emerald Group Publishing, vol. 31(3), pages 325-352, July.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (5) 2007-05-04 2009-03-22 2012-01-03 2013-01-07 2013-01-12. Author is listed
  2. NEP-CBA: Central Banking (2) 2007-05-04 2009-03-22
  3. NEP-FOR: Forecasting (2) 2007-05-04 2009-03-22
  4. NEP-IFN: International Finance (2) 2007-05-04 2009-03-22
  5. NEP-NET: Network Economics (2) 2013-01-12 2015-04-25
  6. NEP-FMK: Financial Markets (1) 2012-01-03
  7. NEP-MAC: Macroeconomics (1) 2009-03-22
  8. NEP-MON: Monetary Economics (1) 2009-03-22

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