With the advent of flexible exchange rates, research into the foreign exchange expectation relation based on the purchasing power parity and interest rate parity conditions has shown that the speed of transmission of economic variables, such as the price level and interest rates, is not rapid...

The paper demonstrates a technique for testing for the approximate “timing†of significant changes in relative risk. This technique is useful in cases where we are interested to see whether the timing of such a change is related to certain events in history. It is applied here to...

We explain the probability of a trade at the asking price across time. The database contains intraday bidâ€ask quotes and transaction prices on the Australian Stock Exchange. We find systematic patterns in the probability of a trade at the asking price, corresponding to previously documented...