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A span of continuous trades and liquidity dynamics in foreign exchange markets

Chien, Chih-Chung; Chen, Shikuan; Chang, Ming-Jen - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 144-168

Persistent link: https://www.econbiz.de/10014253161

Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - In: Global finance journal 17 (2006) 1, pp. 23-49

Persistent link: https://www.econbiz.de/10003381769

Mircostructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - 2004

Persistent link: https://www.econbiz.de/10002447981

Liquidity withdrawal in the FX spot market : a cross-country study using high-frequency data

Stenfors, Alexis; Susai, Masayuki - In: Journal of international financial markets, … 59 (2019), pp. 36-57

Persistent link: https://www.econbiz.de/10012127871

Market microstructure invariance: a dynamic equilibrium model

Kyle, Albert S.; Obižaeva, Anna - 2020

Persistent link: https://www.econbiz.de/10012494205

Market microstructure invariance : empirical hypotheses

Kyle, Albert S.; Obižaeva, Anna - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1345-1404

Persistent link: https://www.econbiz.de/10011611092

The long memory of order flow in the foreign exchange spot market

Gould, Martin; Porter, Mason A.; Howison, Sam - In: Market microstructure and liquidity 2 (2016) 1, pp. 1-40

Persistent link: https://www.econbiz.de/10011588230

Currency order flow and exchange rate determination : empirical evidence from the Malaysian foreign exchange market

Anifowose Daniel Abolaji; Izlin Ismail; Mohd Edil Abd Sukor - In: Global business review 19 (2018) 4, pp. 902-920

Persistent link: https://www.econbiz.de/10011915059

Finite sample accuracy of integrated volatility estimators

Nielsen, Morten Ørregaard; Frederiksen, Per - 2005

We consider the properties of three estimation methods for integrated volatility, i.e. realized volatility, the Fourier estimator, and the wavelet estimator, when a typical sample of high-frequency data is observed. We employ several different generating mechanisms for the instantaneous...

Persistent link: https://www.econbiz.de/10003919701

Central limit theorem for the realized volatility based on the tick time sampling

Fukasawa, Masaaki - In: Finance and stochastics 14 (2010) 2, pp. 209-233

Persistent link: https://www.econbiz.de/10003951499

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