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Monetary and exchange rate stability at the EU : mediterranean borders
Bauer, Christian; Herz, Bernhard - In: Revue économique : revue bimestrielle 57 (2006) 4, pp. 899-917
Persistent link: https://www.econbiz.de/10003347443
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Noise reduced realized volatility : a kalman filter approach
Owens, John P.; Steigerwald, Douglas G. - 2006
Persistent link: https://www.econbiz.de/10003331379
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Realized variance and market microstructure noise
Hansen, Peter Reinhard; Lunde, Asger - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 2, pp. 127-161
Persistent link: https://www.econbiz.de/10003317169
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Bank of England interest rate announcements and the foreign exchange market
Melvin, Michael; Saborowski, Christian; Sager, Michael; … - 2009
. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate … macroeconomic news effects on the foreign exchange market. We find evidence for non-linear regime switching between a high-volatility …, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to …
Persistent link: https://www.econbiz.de/10003831967
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Estimating volatility in the presence of market microstructure noise: a review of the theory and practical considerations
Aït-Sahalia, Yacine; Mykland, Per A. - In: Handbook of financial time series, (pp. 577-598). 2009
Persistent link: https://www.econbiz.de/10003834187
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On the correlation structure of microstructure noise in theory and practice
Diebold, Francis X. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003790675
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Regulatory change and micro structure effects in SPI futures
Gannon, Gerard L. (contributor); Chang, Chi-ying (contributor) - 2007
Persistent link: https://www.econbiz.de/10003794159
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Bayesian learning in financial markets : price adjustments, fundamentals, and risk
Müller, Christoph - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003866148
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Informed trading and liquidity in the Shanghai Stock Exchange
Wong, Woon K.; Tan, Dijun; Tian, Yixiang - In: International review of financial analysis 18 (2009) 1/2, pp. 66-73
Persistent link: https://www.econbiz.de/10003850315
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Finite sample results of range-based integrated volatility estimation
Rossi, Eduardo; Spazzini, Filippo - 2009
Persistent link: https://www.econbiz.de/10003899120