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Citations for "What drives volatility persistence in the foreign exchange market?"

by Berger, David & Chaboud, Alain & Hjalmarsson, Erik

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  1. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "Amplitude-Duration-Persistence Trade-off Relationship for Long Term Bear Stock Markets," MPRA Paper 54177, University Library of Munich, Germany.
  2. Ding, Liang, 2008. "Market structure and dealers' quoting behavior in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 313-325, October.
  3. 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.
  4. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
  5. Andreas M. Fischer & Angelo Ranaldo, 2008. "Does FOMC News Increase Global FX Trading?," Working Papers 2008-09, Swiss National Bank.
  6. Marcel Aloy & Gilles Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Computational Economics, Society for Computational Economics, vol. 48(1), pages 83-104, June.
  7. 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.
  8. Christopher J. Neely & Brett W. Fawley, 2012. "Capital Flows And Japanese Asset Volatility," Pacific Economic Review, Wiley Blackwell, vol. 17(3), pages 391-414, 08.
  9. 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.
  10. Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers 49, Brandeis University, Department of Economics and International Businesss School.
  11. Gilles de Truchis & Benjamin Keddad, 2013. "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," AMSE Working Papers 1346, Aix-Marseille School of Economics, Marseille, France, revised Sep 2013.
  12. Piccotti, Louis R., 2016. "Pricing errors and the geography of trade in the foreign exchange market," Journal of Financial Markets, Elsevier, vol. 28(C), pages 46-69.
  13. repec:hal:wpaper:hal-01006414 is not listed on IDEAS
  14. Shi, Yanlin & Ho, Kin-Yip & Liu, Wai-Man, 2016. "Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 291-312.
  15. Yoshihiro Kitamura, 2011. "The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach," Asia-Pacific Financial Markets, Springer, vol. 18(1), pages 1-31, March.
  16. Jianxin Wang, 2007. "Foreign Ownership and Volatility Dynamics of Indonesian Stocks," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 201-210, September.
  17. Kitamura, Yoshihiro, 2010. "Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 158-171, June.
  18. Mehdi Lallouache & Frédéric Abergel, 2014. "Tick size reduction and price clustering in a FX order book," Post-Print hal-01006414, HAL.
  19. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.
  20. Galagedera, Don U.A. & Kitamura, Yoshihiro, 2012. "Effect of exchange rate return on volatility spill-over across trading regions," Japan and the World Economy, Elsevier, vol. 24(4), pages 254-265.
  21. Lallouache, Mehdi & Abergel, Frédéric, 2014. "Tick size reduction and price clustering in a FX order book," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 488-498.
  22. Chai, Edwina F.L. & Lee, Adrian D. & Wang, Jianxin, 2015. "Global information distribution in the gold OTC markets," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 206-217.
  23. Adam Clements & Joanne Fuller & Vasilios Papalexiou, 2015. "Public news flow in intraday component models for trading activity and volatility," NCER Working Paper Series 106, National Centre for Econometric Research.
  24. Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick, 2014. "Order flow and volatility: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 185-201.
  25. Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 361-385.
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