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The microstructure approach to exchange rates: a survey from a central bank's viewpoint

Gereben, Áron (contributor); Gyomai, György (contributor); … - 2005

central bank intervention, the effects of economic news on exchange rates, and the role of different currency market …

Persistent link: https://www.econbiz.de/10003415125

End-user order flow and exchange rate dynamics

Reitz, Stefan (contributor); Schmidt, Markus A. (contributor) - 2007

markets using a German bank's end-user order flow from 2002 to 2003. Though customer order flow is unambiguously the vehicle …

Persistent link: https://www.econbiz.de/10003453446

Market microstructure approach to the exchange rate determination puzzle

Mokoena, Thabo M.; Gupta, Rangan; Van Eyden, Reneé - In: The Icfai university journal of monetary economics 7 (2009) 3/4, pp. 101-115

Persistent link: https://www.econbiz.de/10003932189

Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market

Frömmel, Michael; Kiss M., Norbert; Pintér, Klára - 2009

Persistent link: https://www.econbiz.de/10003936498

Timing exchange rates using order flow : the case of the Loonie

King, Michael R.; Sarno, Lucio; Sojli, Elvira - In: Journal of banking & finance 34 (2010) 12, pp. 2917-2928

Persistent link: https://www.econbiz.de/10008859370

Explaining exchange rate movements : an application of the market microstructure approach on the Pakistani foreign exchange market

Jalil, Abdul; Feridun, Mete - In: The journal of developing areas 44 (2010/11) 1, pp. 255-265

Persistent link: https://www.econbiz.de/10008908529

Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets

Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - 2007

Persistent link: https://www.econbiz.de/10003997594

Asymmetric information, price discovery and macroeconomic announcements in FX market : do top trading bank know more?

Phylaktis, Kate; Chen, Long - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 228-246

Persistent link: https://www.econbiz.de/10008702346

Is exchange rate - customer order flow relationship linear? : evidence from the Hungarian FX market

Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010

Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of this approach is that the order flows at different levels of aggregation contain valuable information to explain exchange rate movements. The bulk of empirical literature has...

Persistent link: https://www.econbiz.de/10008746440

Asymmetric news effects on volatility : good vs. bad news in good vs. bad times

Laakkonen, Helina (contributor); Lanne, Markku (contributor) - 2008

Persistent link: https://www.econbiz.de/10003666187