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Information and volatility links in the foreign exchange market

Sirimon Treepongkaruna; Gray, Stephen - In: Accounting and finance : journal of the Accounting … 49 (2009) 2, pp. 385-405

Persistent link: https://www.econbiz.de/10003859699

Explaining the Bid-Ask Spread in the Foreign Exchange Market : A Test of Alternate Models

Treepongkaruna, Sirimon - 2014

This paper attempts to uncover the determinants of the dealer bid-ask spread in the foreign exchange market. Prior research has examined the Huang-Masulis model wherein the spread is modelled as a function of dealer competition and volatility. We first extend this model to a much larger set of...

Persistent link: https://www.econbiz.de/10013044174

Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Hum, … - In: Applied financial economics 21 (2011) 13/15, pp. 997-1003

Persistent link: https://www.econbiz.de/10009317447

Generalized impulse response analysis in a fractionally integrated vector autoregressive model

Do, Hung Xuan; Brooks, Robert Darren; Sirimon Treepongkaruna - In: Economics letters 118 (2013) 3, pp. 462-465

Persistent link: https://www.econbiz.de/10009729131

Realized spill-over effects between stock and foreign exchange market : evidence from regional analysis

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna - In: Global finance journal 28 (2015), pp. 24-37

Persistent link: https://www.econbiz.de/10011478085

Banking crises : identifying dates and determinants

Jutasompakorn, Pearpilai; Brooks, Robert; Brown, Christine - In: Journal of international financial markets, … 32 (2014), pp. 150-166

Persistent link: https://www.econbiz.de/10011299799

How does trading volume affect financial return distributions?

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206

Persistent link: https://www.econbiz.de/10010530243

The effects of sovereign rating drifts on financial return distributions : evidence from the European Union

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 34 (2014), pp. 5-20

Persistent link: https://www.econbiz.de/10010520405

Identifying periods of financial stress in Asian currencies : the role of high frequency financial market data

Dungey, Mardi H.; Matei, Marius; Sirimon Treepongkaruna - 2015

Persistent link: https://www.econbiz.de/10010520822

Is there a banking risk premium in the US stock market?

Zeng, Liujing; Au Yong, Hue Hwa; Sirimon Treepongkaruna; … - In: Journal of financial management, markets and institutions 2 (2014) 1, pp. 27-42

Persistent link: https://www.econbiz.de/10011949651