A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market
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References listed on IDEAS
- Alfonso Dufour & Robert F. Engle, 2000.
"Time and the Price Impact of a Trade,"
Journal of Finance,
American Finance Association, vol. 55(6), pages 2467-2498, December.
- Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Partha Chatterjee & Malik Shukayev, 2006. "Are Average Growth Rate and Volatility Related?," Staff Working Papers 06-24, Bank of Canada.
- Hautsch, Nikolaus & Huang, Ruihong, 2012.
"The market impact of a limit order,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 36(4), pages 501-522.
- Nikolaus Hautsch & Ruihong Huang, 2009. "The Market Impact of a Limit Order," SFB 649 Discussion Papers SFB649DP2009-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hautsch, Nikolaus & Huang, Ruihong, 2009. "The market impact of a limit order," CFS Working Paper Series 2009/23, Center for Financial Studies (CFS).
More about this item
KeywordsExchange rates; Financial markets;
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-06-24 (All new papers)
- NEP-FMK-2006-06-24 (Financial Markets)
- NEP-IFN-2006-06-24 (International Finance)
- NEP-MST-2006-06-24 (Market Microstructure)
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