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Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data

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  • Laurini, Márcio P.
  • Furlani, Luiz G. C.
  • Portugual, Marcelo S.

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  • Laurini, Márcio P. & Furlani, Luiz G. C. & Portugual, Marcelo S., 2008. "Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data," Insper Working Papers wpe_103, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    • Handle: RePEc:ibm:ibmecp:wpe_103
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    File URL: http://www.insper.edu.br/sites/default/files/2008_wpe110.pdf
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    Cited by:

    1. Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae, 2016. "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series," Journal of Econometrics, Elsevier, vol. 193(1), pages 251-270.
    2. Zheng, Yingfei & Shen, Anran & Li, Ruihai & Yang, Yuhong & Wang, Shengjin & Cheng, Lee-Young, 2023. "Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).

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