Structural interdependence of price and demand in a model of the foreign exchange market with heterogeneous speculators : evidence from high-frequency data

Leonardo Bargigli, Giulio Cifarelli

Year of publication:	[2020]
Authors:	Bargigli, Leonardo ; Cifarelli, Giulio
Publisher:	Firenze (Italia) : DISEI, Università degli Studi di Firenze
Subject:	Asset pricing model \| heterogeneous beliefs \| market making \| foreign exchange market \| SVAR-GARCH \| high frequency data \| Devisenmarkt \| Foreign exchange market \| Theorie \| Theory \| Wechselkurs \| Exchange rate \| Volatilität \| Volatility \| CAPM \| Spekulation \| Speculation \| Schätzung \| Estimation

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