IDEAS home Printed from
MyIDEAS: Login

Citations for "'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow"

by Cai, Jun & Cheung, Yan-Leung & Lee, Raymond S. K. & Melvin, Michael

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Gabriele Galati & Alexandra Heath & Patrick McGuire, 2007. "Evidence of carry trade activity," BIS Quarterly Review, Bank for International Settlements, September.
  2. 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 07/474, Ghent University, Faculty of Economics and Business Administration.
  3. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
  4. Julien Chevallier & Benoît Sévi, 2011. "On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting," Annals of Finance, Springer, vol. 7(1), pages 1-29, February.
  5. Melvin, Michael & Taylor, Mark P, 2009. "The Crisis in the Foreign Exchange Market," CEPR Discussion Papers 7472, C.E.P.R. Discussion Papers.
  6. Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1108-1125, November.
  7. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, School of Economics and Management, University of Aarhus.
  8. Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2005. "The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 27-39.
  9. Morel, Christophe & Teiletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Economics Papers from University Paris Dauphine 123456789/12956, Paris Dauphine University.
  10. Michael Frömmel & Norbert Kiss M. & Klára Pintér, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," MNB Working Papers 2009/3, Magyar Nemzeti Bank (Central Bank of Hungary).
  11. Lukas Menkhoff, 2010. "High-Frequency Analysis Of Foreign Exchange Interventions: What Do We Learn?," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 85-112, 02.
  12. Walid Ben Omrane & Christian M. Hafner, 2009. "Information Spillover, Volatility and the Currency Markets for the Binary Choice Model," International Econometric Review (IER), Econometric Research Association, vol. 1(1), pages 50-62, April.
  13. Bjönnes, Geir H. & Holden, Steinar & Rime, Dagfinn & Solheim, Haakon O.Aa., 2005. "'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks," SIFR Research Report Series 38, Institute for Financial Research.
  14. Ben Omrane, Walid & de Bodt, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1817-1838, June.
  15. Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2005. "Japanese and U.S. interventions in the yen/U.S. dollar market: estimating the monetary authorities' reaction functions," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 680-698, September.
  16. Edmonds, Radcliffe Jr. & Kutan, Ali M., 2002. "Is public information really irrelevant in explaining asset returns?," Economics Letters, Elsevier, vol. 76(2), pages 223-229, July.
  17. 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.
  18. Antonio Scalia, 2006. "Is foreign exchange intervention effective? Some micro-analytical evidence from the Czech Republic," Temi di discussione (Economic working papers) 579, Bank of Italy, Economic Research and International Relations Area.
  19. Walid Ben Omrane & Christian Hafner, 2015. "Macroeconomic news surprises and volatility spillover in foreign exchange markets," Empirical Economics, Springer, vol. 48(2), pages 577-607, March.
  20. Matthias Gubler, 2014. "Carry Trade Activities: A Multivariate Threshold Model Analysis," Working Papers 2014-06, Swiss National Bank.
  21. Rasmus Fatum & Michael M. Hutchison & Thomas Wu, 2010. "Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates," Globalization and Monetary Policy Institute Working Paper 49, Federal Reserve Bank of Dallas.
  22. Lee, Ming-Chih & Chiu, Chien-Liang & Lee, Yen-Hsien, 2007. "Is twin behavior of Nikkei 225 index futures the same?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 199-210.
  23. Ben Omrane, Walid & Heinen, Andréas, 2009. "Is there any common knowledge news in the Euro/Dollar market?," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 656-670, October.
  24. Morel, Christophe & Teïletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 211-231, March.
  25. Kevin Cowan & David Rappoport & Jorge Selaive, 2007. "High Frequency Dynamics of the Exchange Rate in Chile," Working Papers Central Bank of Chile 433, Central Bank of Chile.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.