Real trading patterns and prices in spot foreign exchange markets

By Jón Dańıelsson, Richard Payne. 2002

155 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/55f0fda6b3406c971bf253d658db361ba07d4d18

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In Economics and Econometrics

Citations in the corpus

Uncovered interest parity: it works, but not for long (2003, unknown): “7 These are based on Reuters indicative quotes, not transaction prices. Danielsson and Payne (2002)”
News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market (2005, unknown): “Danielsson and Payne (2002) show that quote data tend to reflect the actual pace of market activity.”
When do central bank interventions influence intra-daily and longer-term exchange rate movements? (2006, unknown): “And, the Fed is 11 Goodhart et al. (1996) and Danielsson and Payne (2002) find that the basic characteristics of 5-min FXFX returns closely match those calculated for transactions prices but find that quote frequency and bideask spreads in the FXFX data are not good proxies for transaction volume…”
A transaction level study of the effects of central bank intervention on exchange rates (2003, unknown): “We use this sampling frequency in the majority of our analysis and it was chosen so as to allow us to characterise the fine detail of the high-frequency data without uncovering the statistical distortions that emerge when indicative data are sampled too frequently 5(see Danielsson and Payne, 2000).”
The Distribution of Realized Exchange Rate Volatility (2001, unknown): “Although the earlier proofs for consistency and asymptotic normality of the log-periodogram regression estimator rely on normality, Deo and Hurvich (1998) and Robinson and Henry (1999) showed that these properties extend to non-Gaussian, possibly heteroscedastic, time series as well.”
Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis (2003, result): “Fortunately, existing comparisons of quote and transactions data suggest no likely distortion in the results (Goodhart, Ito, and Payne (1996) and Danielsson and Payne (1999)).”
Y2K Fears and Safe Haven Trading of the U.S. Dollar (2006, unknown): “Goodhart, Ito and Payne (1996) and Danielsson and Payne (2002), for example, have considered the quality of indicative quotes as a proxy for transaction data.”
Safe Haven Currencies (2010, unknown): “frequency, the indicative mid-quote is well representative ( Danielsson and Payne (2002) ).”
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects (2005, background): “See Danielsson and Payne (2002) for an instructive discussion of indicative exchange rate quotes compared to the quotes on an electronic brokerage.”
Modelling daily value-at-risk using realized volatility and arch type models (2001, unknown): “These quotes are indicative quotes but have been shown to be adequate inputs for computing intraday returns, see for example Danielsson and Payne (2002).”
Non-Gaussian OU based models and some of their uses in financial economics (2000, methodology): “1 Olsen high frequency exchange rate data In this paper we will study five minute9 return series (recorded using Greenwich Mean Time) for the DM/$ exchange rate from 1/12/86 to 30/11/96 constructed from the Olsen and Associates database using the semi-cleaning procedures carefully documented in Ande”