Housewives of Tokyo versus the gnomes of Zurich : measuring price discovery in sequential markets
Year of publication: |
2011
|
---|---|
Authors: | Wang, Jian-xin ; Yang, Minxian |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 14.2011, 1, p. 82-108
|
Subject: | Price discovery | Information share | Sequential markets | Realized variance | Beverage-Nelson decomposition | Efficient price | Foreign exchange rate | Börsenkurs | Share price | Theorie | Theory | Wechselkurs | Exchange rate | Schätzung | Estimation | Japan |
-
Global price discovery in the Australian dollar market and its determinants
Su, Fei, (2018)
-
How well does the weighted price contribution measure price discovery?
Wang, Jian-xin, (2015)
-
Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C., (2011)
- More ...
-
Asymmetric volatility in the foreign exchange markets
Wang, Jian-xin, (2009)
-
On the risk return relationship
Wang, Jian-xin, (2013)
-
Commodity price, carry trade, and the volatility and liquidity of Asian currencies
Socorro Gochoco-Bautista, Maria, (2014)
- More ...