✦ LIBER ✦

A note on intraday foreign exchange volatility and the informational role of quote arrivals

✍ Scribed by Nobuya Takezawa

Book ID: 116101951
Publisher: Elsevier Science
Year: 1995
Tongue: English
Weight: 363 KB
Volume: 48
Category: Article
ISSN: 0165-1765
DOI: 10.1016/0165-1765(94)00626-d

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A note on weekday, intraday, and overnig

A note on weekday, intraday, and overnight patterns in the interbank foreign exchange and listed currency options markets

✍ Jimmy E. Hilliard; Alan L. Tucker 📂 Article 📅 1992 🏛 Elsevier Science 🌐 English ⚖ 804 KB

The role of private information in retur

The role of private information in return volatility, bid–ask spreads and price levels in the foreign exchange market

✍ Frank McGroarty; Owain ap Gwilym; Stephen Thomas 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 215 KB

Intraday Returns and the Frequency of Tr

Intraday Returns and the Frequency of Trading at the Ask on the Sydney Futures Exchange: A Research Note

✍ Michael Aitken; Alex Frino; Elvis Jarnecic 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 126 KB

Frequency analysis of tick quotes on the

Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach

✍ Aki-Hiro Sato 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 382 KB

High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/ SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the g