Public Information Arrival, Exchange Rate Volatility, and Quote Frequency

By Michael Melvin, Xixi Yin. 2000

198 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7213e1febe1c1ddbc9653bc79aa13e8ca3a749c0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. N. Karnaukh
2. Angelo Ranaldo
3. P. Söderlind
4. Craig W. Holden
5. Nikolaus Hautsch
6. Axel Groß-Klußmann

In Economics and Econometrics

1. N. Karnaukh
2. Angelo Ranaldo
3. P. Söderlind
4. Nikolaus Hautsch
5. Axel Groß-Klußmann

In Finance

1. P. Söderlind
2. N. Karnaukh
3. Angelo Ranaldo
4. Craig W. Holden
5. Nikolaus Hautsch
6. Axel Groß-Klußmann

Citations in the corpus

• How is Macro News Transmitted to Exchange Rates (2008, unknown): “4See, for example, Goodhart et al. (1993), DeGennaro and Shrieves (1997), Andersen and Bollerslev (1998), and Melvin and Yin (2000) .”
• Understanding FX Liquidity (2015, methodology): “A method to approximate trading volume proposed in FX literature is the quote frequency, that is the number of quote revisions over a given period (e.g., Melvin and Yin 2000).”
• News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market (2005, unknown): “The impact of information on the volatility of foreign exchange (FOREX) returns has been theoretically and empirically studied in several papers, e.g. Degennaro and Shrieves (1997), Andersen and Bollerslev (1998), Evans and Lyons (1999), Melvin and Yin (2000) and Cai, Cheung, Lee, and Melvin (2001).”