Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention
Year of publication: |
January 2016
|
---|---|
Authors: | Kitamura, Yoshihiro |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 36.2016, p. 436-446
|
Subject: | Exchange rates | High frequency data | Intervention | Markov-switching model | Microstructure | Wechselkurspolitik | Exchange rate policy | Wechselkurs | Exchange rate | Japan | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Markov-Kette | Markov chain |
-
Realized volatility as an instrument to official intervention
Barroso, João Barata Ribeiro Blanco, (2014)
-
Price discovery on foreign exchange markets with differentially informed traders
Jong, Frank de, (1999)
-
Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane, (2016)
- More ...
-
Intraday evidence of the informational efficiency of the yen dollar exchange rate
Iwatsubo, Kentaro, (2009)
-
The optimal exchange rate regime for a small country
Akiba, Hiroya, (2009)
-
The current account and stock returns
Kitamura, Yoshihiro, (2009)
- More ...