We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...

A great deal of controversy surrounding technical analysis and the efficient market hypothesis as well as a lack of research in the academic literature on the role of price highs and lows in the foreign exchange market were the reasons to undertake this research. The purpose of this paper was to...