Real-time price discovery in global stock, bond and foreign exchange markets
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- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Foreign exchange market; Stock market;JEL classification:
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
- G1 - Financial Economics - - General Financial Markets
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2006-12-16 (Econometric Time Series)
- NEP-MST-2006-12-16 (Market Microstructure)
- NEP-RMG-2006-12-16 (Risk Management)
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