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Sources of meteor showers and heat waves in the foreign exchange market

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:

  1. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
  2. repec:uts:finphd:39 is not listed on IDEAS
  3. Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong, 2012. "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, Elsevier, vol. 21(4), pages 168-174.
  4. Tse, Yiuman, 1998. "International transmission of information: evidence from the Euroyen and Eurodollar futures markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 909-929, December.
  5. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
  6. Ho, Kin Yip & Tsui, Albert K.C., 2004. "Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach," China Economic Review, Elsevier, vol. 15(4), pages 424-442.
  7. Terry Boulter & Celeste Ping Fern Tan, 2000. "The Short Run Impact of Scheduled Macroeconomic Announcements on the Australian Dollar during 1998," School of Economics and Finance Discussion Papers and Working Papers Series 082, School of Economics and Finance, Queensland University of Technology.
  8. Fang Cai & Edward Howorka & Jon Wongswan, 2006. "Transmission of volatility and trading activity in the global interdealer foreign exchange market: evidence from electronic broking services (EBS) data," International Finance Discussion Papers 863, Board of Governors of the Federal Reserve System (U.S.).
  9. Macdonald, Ronald & Marsh, Ian W., 1996. "Currency forecasters are heterogeneous: confirmation and consequences," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 665-685, October.
  10. Reinhold Heinlein & Gabriele M. Lepori, 2022. "Do financial markets respond to macroeconomic surprises? Evidence from the UK," Empirical Economics, Springer, vol. 62(5), pages 2329-2371, May.
  11. Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996. "Is There Private Information in the FX Market? The Tokyo Experiment," Working Papers _005, University of California at Berkeley, Haas School of Business.
  12. Jérôme Lahaye & Christopher Neely, 2020. "The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 410-427, April.
  13. Simpson, Marc W. & Ramchander, Sanjay & Chaudhry, Mukesh, 2005. "The impact of macroeconomic surprises on spot and forward foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 693-718, September.
  14. Jolanta Pasionek, 2021. "Response of the USD/MXN Exchange Rate to Macroeconomic Data," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 3), pages 914-927.
  15. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 759-793, June.
  16. Fei Su & Lei Wang, 2020. "Conditional Volatility Persistence and Realized Volatility Asymmetry: Evidence from the Chinese Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(14), pages 3252-3269, November.
  17. Terry Boulter, 2000. "Asymmetric Information Arrival and the Short-Run Dynamics of Australian Dollar Volatility: a Mixture of Distributions Approach," School of Economics and Finance Discussion Papers and Working Papers Series 073, School of Economics and Finance, Queensland University of Technology.
  18. Shih Yung Wei & Jack J. W. Yang, 2011. "The Impact Of Short Sale Restrictions On Stock Volatility: Evidence From Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(4), pages 89-98.
  19. Syed Jawad Hussain Shahzad & Jose Arreola‐Hernandez & Md Lutfur Rahman & Gazi Salah Uddin & Muhammad Yahya, 2021. "Asymmetric interdependence between currency markets' volatilities across frequencies and time scales," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2436-2457, April.
  20. Su, Fei, 2021. "Conditional volatility persistence and volatility spillovers in the foreign exchange market," Research in International Business and Finance, Elsevier, vol. 55(C).
  21. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2018. "Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 168-186.
  22. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018, January-A.
  23. Masuhr Andreas & Trede Mark, 2023. "Mutual volatility transmission between assets and trading places," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-15.
  24. Anna Calamia, 1999. "Market Microstructure: Theory and Empirics," LEM Papers Series 1999/19, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  25. Ibrahim, Boulis Maher & Brzeszczynski, Janusz, 2009. "Inter-regional and region-specific transmission of international stock market returns: The role of foreign information," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 322-343, March.
  26. Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Working Papers in Applied Economic Theory 99-09, Federal Reserve Bank of San Francisco.
  27. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 759-793, June.
  28. Melvin, Michael & Yin, Xixi, 2000. "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Economic Journal, Royal Economic Society, vol. 110(465), pages 644-661, July.
  29. Michael Melvin & Bettina Peiers, 1998. "Twice a day or continuously? Observation frequency and inference on foreign exchange volatility persistence," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 26(1), pages 44-53, March.
  30. Cai, Fang & Howorka, Edward & Wongswan, Jon, 2008. "Informational linkages across trading regions: Evidence from foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1215-1243, December.
  31. Andreas Masuhr, 2019. "Big in Japan: Global Volatility Transmission between Assets and Trading Places," CQE Working Papers 8119, Center for Quantitative Economics (CQE), University of Muenster.
  32. Boulis Ibrahim & Janusz Brzeszczynski, 2013. "Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007," CFI Discussion Papers 1305, Centre for Finance and Investment, Heriot Watt University.
  33. Elaine Mosakowski & Srilata Zaheer, 1999. "The Global Configuration of a Speculative Trading Operation: An Empirical Study of Foreign Exchange Trading," Organization Science, INFORMS, vol. 10(4), pages 401-423, August.
  34. 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.
  35. Wang Tianqiong & Shu Yang & Shamila Saddique, 2017. "Effect of Economic Announcements on FX Fluctuations: Testing a Unified Approach for Prediction," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 631-640.
  36. Han, Young Wook, 2008. "Intraday effects of macroeconomic shocks on the US Dollar-Euro exchange rates," Japan and the World Economy, Elsevier, vol. 20(4), pages 585-600, December.
  37. Narayan, Paresh Kumar & Bannigidadmath, Deepa & Narayan, Seema, 2021. "How much does economic news influence bilateral exchange rates?," Journal of International Money and Finance, Elsevier, vol. 115(C).
  38. Chuliá, Helena & Fernández, Julián & Uribe, Jorge M., 2018. "Currency downside risk, liquidity, and financial stability," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 83-102.
  39. Tse, Y. K. & Tsui, Albert K. C., 1997. "Conditional volatility in foreign exchange rates: Evidence from the Malaysian ringgit and Singapore dollar," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 345-356, July.
  40. Yiuman Tse & Lin Zhao, 2011. "The Relationship between Currency Carry Trades and U.S. Stocks The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September ," Working Papers 0005, College of Business, University of Texas at San Antonio.
  41. repec:uts:finphd:38 is not listed on IDEAS
  42. Edmonds, Radcliffe Jr. & So, Jacky Y. C., 2004. "Is exchange rate volatility excessive? An ARCH and AR approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 122-154, February.
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