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Foreign exchange order flow as a risk factor

Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2023

Persistent link: https://www.econbiz.de/10014234202

Equity order flow and exchange rate dynamics

Ferreira Filipe, Sara - In: Journal of empirical finance 19 (2012) 3, pp. 359-381

Persistent link: https://www.econbiz.de/10009615677

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234

Persistent link: https://www.econbiz.de/10011642112

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - 2015

Persistent link: https://www.econbiz.de/10011736615

Profits and position control : a week of FX dealing

Lyons, Richard K. - In: Journal of international money and finance 17 (1998) 1, pp. 97-115

Persistent link: https://www.econbiz.de/10001338368

Multivariate density forecast evaluation and calibration in financial risk management : high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. A. - In: The review of economics and statistics 81 (1999) 4, pp. 661-673

Persistent link: https://www.econbiz.de/10001437391

Intraday patterns in FX returns and order flow

Breedon, Francis J.; Ranaldo, Angelo - 2012

Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...