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Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2

De Jong, Frank; Mahieu, Ronald; Schotman, Peter - In: Journal of International Money and Finance 17 (1998) 1, pp. 5-27

Persistent link: https://www.econbiz.de/10005339316

Neglected common factors in exchange rate volatility

Mahieu, Ronald; Schotman, Peter - In: Journal of Empirical Finance 1 (1994) 3-4, pp. 279-311

Persistent link: https://www.econbiz.de/10005194282

How to beat the random walk : An empirical model of real exchange rates

Koedijk, Kees G.; Schotman, Peter - In: Journal of International Economics 29 (1990) 3-4, pp. 311-332

Persistent link: https://www.econbiz.de/10005531809

Dominant real exchange rate movements

Koedijk, Kees; Schotman, Peter - In: Journal of International Money and Finance 8 (1989) 4, pp. 517-531

Persistent link: https://www.econbiz.de/10005402519

Price discovery in tick time

Frijns, Bart; Schotman, Peter - In: Journal of Empirical Finance 16 (2009) 5, pp. 759-776

This paper develops a tick time model for the quote setting dynamics on Nasdaq. The model decomposes quotes into an efficient price, asymmetric information and noise. Both the evolution of the efficient price and the information contents of quotes depend on quote durations. New measures for the...

Persistent link: https://www.econbiz.de/10008482956