Frömmel, Michael; Mende, Alexander; Menkhoff, Lukas - In: Journal of International Money and Finance 27 (2008) 6, pp. 994-1012
This paper examines the roles of order flow (reflecting private information) and news (reflecting public information) in explaining exchange rate volatility. Analyzing four months of a bank's high frequency dollar/euro trading, three different kinds of order flow are used in addition to seasonal...
