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'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow
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Cited by:
- Kari Harju & Syed Mujahid Hussain, 2011. "Intraday Seasonalities and Macroeconomic News Announcements," European Financial Management, European Financial Management Association, vol. 17(2), pages 367-390, March.
- Bjönnes, Geir H. & Holden, Steinar & Rime, Dagfinn & Solheim, Haakon O.Aa., 2005.
"'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks,"
SIFR Research Report Series
38, Institute for Financial Research.
- Geir H. Bjønnes & Steinar Holden & Dagfinn Rime & Haakon O. Aa. Solheim, 2009. "'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks," CESifo Working Paper Series 2518, CESifo.
- Geir H. Bjønnes & Steinar Holden & Dagfinn Rime & Haakon O.Aa. Solheim, 2005. "“Large” vs. “small” players: A closer look at the dynamics of speculative attacks," Working Paper 2005/13, Norges Bank.
- Fair, Ray C., 2003.
"Shock effects on stocks, bonds, and exchange rates,"
Journal of International Money and Finance, Elsevier, vol. 22(3), pages 307-341, June.
- Ray Fair, 2001. "Shock Effects on Stocks, Bonds, and Exchange Rates," Yale School of Management Working Papers ysm172, Yale School of Management, revised 01 Aug 2001.
- Frömmel, Michael & Mende, Alexander & Menkhoff, Lukas, 2008.
"Order flows, news, and exchange rate volatility,"
Journal of International Money and Finance, Elsevier, vol. 27(6), pages 994-1012, October.
- M. Frömmel & A. Mende & L. Menkhoff, 2007. "Order Flows, News, and Exchange Rate Volatility," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/474, Ghent University, Faculty of Economics and Business Administration.
- Michael Sager & Mark P. Taylor, 2008.
"Commercially Available Order Flow Data and Exchange Rate Movements: Caveat Emptor,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
- Michael Sager & Mark P. Taylor, 2008. "Commercially Available Order Flow Data and Exchange Rate Movements: "Caveat Emptor"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 583-625, June.
- Lee, Ming-Chih & Chiu, Chien-Liang & Lee, Yen-Hsien, 2007. "Is twin behavior of Nikkei 225 index futures the same?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 199-210.
- Turgut Kısınbay, 2010.
"Predictive ability of asymmetric volatility models at medium-term horizons,"
Applied Economics, Taylor & Francis Journals, vol. 42(30), pages 3813-3829.
- Turgut Kisinbay, 2003. "Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons," IMF Working Papers 2003/131, International Monetary Fund.
- Walid Ben Omrane & Christian Hafner, 2015.
"Macroeconomic news surprises and volatility spillover in foreign exchange markets,"
Empirical Economics, Springer, vol. 48(2), pages 577-607, March.
- Ben Omrane, Walid & Hafner, Christian, 2013. "Macroeconomic news surprises and volatility spillover in foreign exchange markets," LIDAM Discussion Papers ISBA 2013059, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Ben Omrane, Walid & Hafner, Christian, 2015. "Macroeconomic news surprises and volatility spillover in foreign exchange markets," LIDAM Reprints ISBA 2015028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013.
"Econometric modeling of exchange rate volatility and jumps,"
Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427,
Edward Elgar Publishing.
- Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
- Nikola Gradojevic, 2007. "A market microstructure analysis of the Canadian dollar depreciation episodes in the 1990s," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1377-1387.
- John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008.
"Short-run Exchange-rate Dynamics: Theory And Evidence,"
Working Papers
39, Brandeis University, Department of Economics and International Business School.
- John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, Department of Economics and Business Economics, Aarhus University.
- Ben Omrane, Walid & Hussain, Syed Mujahid, 2016. "Foreign news and the structure of co-movement in European equity markets: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 37(C), pages 572-582.
- Lukas Menkhoff, 2010.
"High‐Frequency Analysis Of Foreign Exchange Interventions: What Do We Learn?,"
Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 85-112, February.
- Lukas Menkhoff, 2008. "High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?," CESifo Working Paper Series 2473, CESifo.
- Michael Frömmel & Norbert Kiss M. & Klára Pintér, 2011.
"Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(2), pages 172-188, April.
- Michael Frömmel & Norbert Kiss M. & Klára Pintér, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," MNB Working Papers 2009/3, Magyar Nemzeti Bank (Central Bank of Hungary).
- M. Frömmel & N. Kiss M & K. Pintér & -, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/626, Ghent University, Faculty of Economics and Business Administration.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Chen, Shu-Hsiu, 2017. "Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 1-20.
- Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005.
"News announcements, market activity and volatility in the euro/dollar foreign exchange market,"
Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1108-1125, November.
- BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2003. "News announcements, market activity and volatility in the Euro/Dollar foreign exchange market," LIDAM Discussion Papers CORE 2003029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," LIDAM Reprints CORE 1787, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2005.
"The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility,"
International Review of Economics & Finance, Elsevier, vol. 14(1), pages 27-39.
- Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2003. "The Effects of Japanese Foreign Exchange Market Interventions on the Yen/U.S. Dollar Exchange Rate Volatility," Kiel Working Papers 1165, Kiel Institute for the World Economy (IfW Kiel).
- Wu, Chih-Chiang & Wu, Chang-Che, 2017. "The asymmetry in carry trade and the U.S. dollar," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 304-313.
- Dominguez, Kathryn M.E., 2006.
"When do central bank interventions influence intra-daily and longer-term exchange rate movements?,"
Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1051-1071, November.
- Kathryn M.E. Dominguez, 2003. "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," NBER Working Papers 9875, National Bureau of Economic Research, Inc.
- Kathryn M. E. Dominguez, 2003. "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," Working Papers 506, Research Seminar in International Economics, University of Michigan.
- Khademalomoom, Siroos & Narayan, Paresh Kumar, 2019. "Intraday effects of the currency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 65-77.
- Dominguez, Kathryn M.E. & Panthaki, Freyan, 2006.
"What defines `news' in foreign exchange markets?,"
Journal of International Money and Finance, Elsevier, vol. 25(1), pages 168-198, February.
- Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines 'News' in Foreign Exchange Markets," Working Papers 547, Research Seminar in International Economics, University of Michigan.
- Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
- Michel Beine & Ariane Szafarz, 2006. "Size matters: Central bank interventions on the Yen/Dollar exchange rate," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 49(1), pages 5-20.
- Ben Omrane, Walid & Heinen, Andréas, 2009. "Is there any common knowledge news in the Euro/Dollar market?," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 656-670, October.
- Young Wook Han, 2010. "The Effects of US Macroeconomic Surprises on the Intraday Movements of Foreign Exchange Rates: Cases of USD-EUR and USD-JPY Exchange Rates," International Economic Journal, Taylor & Francis Journals, vol. 24(3), pages 375-396.
- Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2005. "Japanese and U.S. interventions in the yen/U.S. dollar market: estimating the monetary authorities' reaction functions," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 680-698, September.
- Ben Omrane, Walid & de Bodt, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1817-1838, June.
- Park, Haesik & Song, Chi-Young, 2008. "Japanese vocal intervention and the yen/dollar exchange rate," Japan and the World Economy, Elsevier, vol. 20(1), pages 61-81, January.
- Marshall, Andrew & Musayev, Taleh & Pinto, Helena & Tang, Leilei, 2012. "Impact of news announcements on the foreign exchange implied volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 719-737.
- Tomáš Plíhal, 2021. "Scheduled macroeconomic news announcements and Forex volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1379-1397, December.
- Kaufmann, Daniel & Mehrez, Gil & Schmukler, Sergio L., 2005.
"Predicting currency fluctuations and crises: Do resident firms have an informational advantage?,"
Journal of International Money and Finance, Elsevier, vol. 24(6), pages 1012-1029, October.
- Kaufmann, Daniel & Mehrez, Gil & Schmukler, Sergio, 1999. "Predicting currency fluctuations and crises - do resident firms have an informational advantage?," Policy Research Working Paper Series 2259, The World Bank.
- Gehrig, Thomas & Menkhoff, Lukas, 2004.
"The use of flow analysis in foreign exchange: exploratory evidence,"
Journal of International Money and Finance, Elsevier, vol. 23(4), pages 573-594, June.
- Gehrig, Thomas & Menkhoff, Lukas, 2003. "The use of flow analysis in foreign exchange: exploratory evidence," Hannover Economic Papers (HEP) dp-276, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Julien Chevallier & Benoît Sévi, 2011.
"On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting,"
Annals of Finance, Springer, vol. 7(1), pages 1-29, February.
- Chevallier, Julien & Benoit, Sevi, 2009. "On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting," Sustainable Development Papers 55834, Fondazione Eni Enrico Mattei (FEEM).
- Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Working Papers halshs-00387286, HAL.
- Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," EconomiX Working Papers 2009-24, University of Paris Nanterre, EconomiX.
- Julien Chevallier & Benoît Sévi, 2009. "On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting," Working Papers 2009.113, Fondazione Eni Enrico Mattei.
- Leonardo Bargigli, 2021.
"A model of market making with heterogeneous speculators,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 1-28, January.
- Leonardo Bargigli, 2019. "A Model of Market Making with Heterogeneous Speculators," Working Papers - Economics wp2019_01.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
- Melvin, Michael & Taylor, Mark P., 2009.
"The crisis in the foreign exchange market,"
Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1317-1330, December.
- Michael Melvin & Mark P. Taylor, 2009. "The Crisis in the Foreign Exchange Market," CESifo Working Paper Series 2707, CESifo.
- Taylor, Mark & Melvin, Michael, 2009. "The Crisis in the Foreign Exchange Market," CEPR Discussion Papers 7472, C.E.P.R. Discussion Papers.
- Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Working Papers hal-04140871, HAL.
- Weber, Christoph S., 2019.
"The effect of central bank transparency on exchange rate volatility,"
Journal of International Money and Finance, Elsevier, vol. 95(C), pages 165-181.
- Christoph S. Weber, 2017. "The Effect of Central Bank Transparency on Exchange Rate Volatility," Working Papers 174, Bavarian Graduate Program in Economics (BGPE).
- Fatum, Rasmus & Hutchison, Michael & Wu, Thomas, 2012.
"Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates,"
Journal of the Japanese and International Economies, Elsevier, vol. 26(4), pages 542-560.
- Rasmus Fatum & Michael M. Hutchison & Thomas Wu, 2010. "Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates," Globalization Institute Working Papers 49, Federal Reserve Bank of Dallas.
- Morel, Christophe & Teïletche, Jérôme, 2008. "Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 211-231, March.
- Chien-Liang Chiu & Shu-Mei Chiang & Feng Kao, 2006. "The relationship between the S&P 500 spot and futures indices: brothers or cousins?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 405-412.
- repec:dau:papers:123456789/12956 is not listed on IDEAS
- Killeen, William P. & Lyons, Richard K. & Moore, Michael J., 2006.
"Fixed versus flexible: Lessons from EMS order flow,"
Journal of International Money and Finance, Elsevier, vol. 25(4), pages 551-579, June.
- William P. Killeen & Richard K. Lyons & Michael J. Moore, 2001. "Fixed versus Flexible: Lessons from EMS Order Flow," NBER Working Papers 8491, National Bureau of Economic Research, Inc.
- Walid Ben Omrane & Christian M. Hafner, 2009. "Information Spillover, Volatility and the Currency Markets for the Binary Choice Model," International Econometric Review (IER), Econometric Research Association, vol. 1(1), pages 50-62, April.
- Osler, Carol L., 2005.
"Stop-loss orders and price cascades in currency markets,"
Journal of International Money and Finance, Elsevier, vol. 24(2), pages 219-241, March.
- Carol L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports 150, Federal Reserve Bank of New York.
- King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013.
"The market microstructure approach to foreign exchange: Looking back and looking forward,"
Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
- Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
- Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper 2013/12, Norges Bank.
- Scalia, Antonio, 2008.
"Is foreign exchange intervention effective? Some microanalytical evidence from the Czech Republic,"
Journal of International Money and Finance, Elsevier, vol. 27(4), pages 529-546, June.
- Antonio Scalia, 2006. "Is foreign exchange intervention effective? Some micro-analytical evidence from the Czech Republic," Temi di discussione (Economic working papers) 579, Bank of Italy, Economic Research and International Relations Area.
- Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
- Munazza Jabeen & Abdul Rashid, 2022. "Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 14(2), pages 222-245, May.
- Matthias Gubler, 2014. "Carry Trade Activities: A Multivariate Threshold Model Analysis," Working Papers 2014-06, Swiss National Bank.
- Firouzi, Shahrokh & Wang, Xiangning, 2021. "The interrelationship between order flow, exchange rate, and the role of American economic news," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Gabriele Galati & Alexandra Heath & Patrick McGuire, 2007. "Evidence of carry trade activity," BIS Quarterly Review, Bank for International Settlements, September.
- Edmonds, Radcliffe Jr. & Kutan, Ali M., 2002. "Is public information really irrelevant in explaining asset returns?," Economics Letters, Elsevier, vol. 76(2), pages 223-229, July.
- Liu, Yang & Han, Liyan & Yin, Libo, 2019. "News implied volatility and long-term foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 126-142.
- Seung Chan Ahn & Michael Melvin, 2007.
"Exchange Rates and FOMC Days,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1245-1266, August.
- Seung Chan Ahn & Michael Melvin, 2007. "Exchange Rates and FOMC Days," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1245-1266, August.
- Kevin Cowan & David Rappoport & Jorge Selaive, 2007. "High Frequency Dynamics of the Exchange Rate in Chile," Working Papers Central Bank of Chile 433, Central Bank of Chile.
- Xu, Juanyi, 2010. "Noise traders, exchange rate disconnect puzzle, and the Tobin tax," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 336-357, March.