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News, Liquidity Dynamics and Intraday Jumps: Evidence from the HUF/EUR market. (2013). Van Gysegem, Frederick ; Frömmel, Michael ; Han, X. ; FRoMMEL, M..
In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
RePEc:rug:rugwps:13/848.

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  1. Bid-Ask Spread Components on the Foreign Exchange Market: Quantifying the Risk Component. (2014). Frömmel, Michael ; VAN GYSEGEM, F ; FRoMMEL, M..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:14/878.

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References

References cited by this document

  1. Acharya, V.V., Pedersen, L.H., 2005. Asset pricing with liquidity risk. Journal of Financial Economics 77, 375-410 Admati, A., Pfleiderer, P., 1988. A theory of intraday patterns: volume and price variability.

  2. Huang, X., Tauchen, G., 2005. The Relative Contribution of Jumps to Total Price Variance.

  3. Journal of Financial Econometrics 3, 456-499 Jiang, G.J., Lo, I., Verdelhan, A., 2011. Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the US Treasury Market. Journal of Financial and Quantitative Analysis 46, 527-551 Jiang, G.J., Oomen, R.C.A., 2008. Testing for jumps when asset prices are observed with noise–a “swap variance” approach. Journal of Econometrics 144, 352-370 Kaniel, R., Liu, H., 2006. So What Orders Do Informed Traders Use? The Journal of Business 79, 1867-1913 Kyle, A.S., 1985. Continuous Auctions and Insider Trading. Econometrica 53, 1315-1335 Lahaye, J., Laurent, S., Neely, C.J., 2011. Jumps, Cojumps and Macro Announcements.

  4. Journal of Financial Markets 2, 99-134 Foucault, T., Kadan, O., Kandel, E., 2005. Limit Order Book as a Market for Liquidity.
    Paper not yet in RePEc: Add citation now

  5. Review of Economics and Statistics 89, 701-720 Andersen, T.G., Bollerslev, T., Dobrev, D., 2007b. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise: Theory and testable distributional implications. Journal of Econometrics 138, 125 Andersen, T.G., Bollerslev, T., Frederiksen, P., Ørregaard Nielsen, M., 2010. Continuoustime models, realized volatilities, and testable distributional implications for daily stock returns. Journal of Applied Econometrics 25, 233-261 Bajgrowicz, P., Scaillet, O., 2011. Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News. SSRN eLibrary Banti, C., Phylaktis, K., Sarno, L., 2012. Global liquidity risk in the foreign exchange market.

  6. Review of Financial Studies 1, 3-40 Ahn, H.-J., Bae, K.-H., Chan, K., 2001. Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong. The Journal of Finance 56, 767-788 Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5, 31-56 Anand, A., Venkataraman, K., 2013. Should Exchanges Impose Market Maker Obligations? Available at SSRN: http://ssrn.com/abstract=2179259 or http://dx.doi.org/10.2139/ssrn.2179259 Andersen, T.G., Bollerslev, T., Diebold, F.X., 2007a. Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility.

  7. Review of Financial Studies 18, 1171-1217 Foucault, T., Kadan, O., Kandel, E., 2013. Liquidity Cycles and Make/Take Fees in Electronic Markets. The Journal of Finance 68, 299-341 Frömmel, M., Kiss M, N., Pintér, K., 2011. Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market. International Journal of Finance & Economics 16, 172-188 Frömmel, M., Van Gysegem, F., 2012. Spread Components in the Hungarian Forint-Euro Market. Emerging Markets Finance & Trade 48, 52-69 Gereben, ., Kiss M., N., 2006. A Brief Overview of the Characteristics of Interbank Forint/Euro Trading. MNB Bulletin 1:2 Glosten, L.R., 1994. Is the Electronic Open Limit Order Book Inevitable? The Journal of Finance 49, 1127-1161 Goettler, R.L., Parlour, C.A., Rajan, U., 2005. Equilibrium in a Dynamic Limit Order Market.

  8. The Journal of Finance 60, 2149-2192 Gomber, P., Schweickert, U., Theissen, E., 2013. Liquidity Dynamics in an Electronic Open Limit Order Book: an Event Study Approach. European Financial Management, n/an /a Griffiths, M.D., Smith, B.F., Turnbull, D.A.S., White, R.W., 2000. The costs and determinants of order aggressiveness. Journal of Financial Economics 56, 65-88 Harris, L., 1998. Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems. Financial Markets, Institutions & Instruments 7, 1-76 Hautsch, N., Huang, R., 2012. The market impact of a limit order. Journal of Economic Dynamics and Control 36, 501-522 Hollifield, B., Miller, R.A., Sandås, P., 2004. Empirical Analysis of Limit Order Markets. The Review of Economic Studies 71, 1027-1063 Huang, X., 2007. Macroeconomic News Announcements, Financial Market Volatility and Jumps.

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