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Price Discovery on Foreign Exchange Markets with Differentially Informed Traders

de Jong, Frank; Mahieu, Ronald; Schotman, Peter; van … - 1999

This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

Persistent link: https://www.econbiz.de/10010324605

Price discovery on foreign exchange markets with differentially informed traders

Jong, Frank de; Mahieu, Ronald J.; Schotman, Peter C.; … - 1999

This paper uses Reuters exchange rate data to investigate thecontributions to the price discovery process by individual banks in theforeign exchange market. We propose multivariate time series models aswell as models in tick time to study the dynamic relations between thequotes of individual...

Persistent link: https://www.econbiz.de/10011301161

Price discovery in the foreign exchange market : an empirical analysis of the yen/dmark rate

Jong, Frank de - In: Journal of international money and finance 17 (1998) 1, pp. 5-27

Persistent link: https://www.econbiz.de/10001338374

Measuring risk attitudes in a natural experiment : data from the television game show lingo

Beetsma, Roel; Schotman, Peter C. - 1998

Persistent link: https://www.econbiz.de/10000680697

The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums

Osterrieder, Daniela; Schotman, Peter C. - 2012

Persistent link: https://www.econbiz.de/10009576958

Estimating security betas using prior information based on firm fundamentals

Cosemans, Mathijs; Frehen, Rik; Schotman, Peter C.; … - In: The review of financial studies 29 (2016) 4, pp. 1072-1112

Persistent link: https://www.econbiz.de/10011530007

Non-synchronous trading and testing for market integration in Central European emerging markets

Schotman, Peter C.; Zalewska-Mitura, Anna - 2005

Persistent link: https://www.econbiz.de/10003226088

Non-syncronous trading and testing for market integration in Central European emerging markets

Schotman, Peter C.; Zalewska-Mitura, Anna - In: Journal of empirical finance 13 (2006) 4/5, pp. 462-494

Persistent link: https://www.econbiz.de/10003370858

Measuring risk attitudes in a natural experiment : data from the television game show Lingo

Beetsma, Roel; Schotman, Peter C. - In: The economic journal : the journal of the Royal … 111 (2001), pp. 821-848

Persistent link: https://www.econbiz.de/10001615628

Big news in small samples

Schotman, Peter C.; Straetmans, Stefan; Vries, Casper G. de - 1997

Persistent link: https://www.econbiz.de/10000968761

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