Extreme Returns without News: A Microstructural Explanation
Year of publication: |
2008-02
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Authors: | Osler, Carol ; Savaser, Tanseli |
Institutions: | Economics Department, Williams College |
Subject: | kurtosis | exchange rates | order flow | high-frequency | microstructure | jump process | value-atrisk | risk management |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Journal of Banking and Finance, Volume 35, Issue 11, 2011 The price is Free Number 2008-02 42 pages |
Classification: | G1 - General Financial Markets ; F3 - International Finance |
Source: |
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Extreme Returns: The Case of Currencies
Osler, Carol, (2010)
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Currency orders and exchange-rate dynamics: Explaining the success of technical analysis
Osler, C. L., (2001)
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(2005)
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Asymmetric Information and the Foreign-Exchange Trades of Global Custody Banks
Osler, Carol, (2011)
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Exchange Rate Response to Macro News: Through the Lens of Microstructure
Savaser, Tanseli, (2007)
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Asymetric Information and the Foreign-Exchange Trades of Global Custody Banks
Osler, Carol, (2012)
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