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Applied Economics Volume 28, 1996 - Issue 3
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Original Articles

The interaction between the frequency of market quotations, spread and volatility in the foreign exchange market

Antonis A. Demos
&
Charles A. E. Goodhart
Pages 377-386 | Published online: 01 Oct 2010

Citations (19)

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Read on this site (4)

Olivier Damette & Stéphane Goutte. (2015) Tobin tax and trading volume tightening: a reassessment. Applied Economics 47:29, pages 3124-3141.
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CiprianA. Tudor & Cristiana Tudor. (2014) EGARCH Model with Weighted Liquidity. Communications in Statistics - Simulation and Computation 43:5, pages 1133-1142.
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Ming-Chang Wang, Lon-Ping Zu & Chau-Jung Kuo. (2010) Risk aversion, order strategy and price formation. Applied Economics 42:5, pages 627-640.
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Alexander Mende. (2006) 09/11 on the USD/EUR foreign exchange market. Applied Financial Economics 16:3, pages 213-222.
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Articles from other publishers (15)

Ming-Chang Wang, Lee-Young Cheng, Chien-Chuan Ko & Pang-Ying Chou. (2018) Does public latency influence market quality? An analysis of pre-trade transparency at the Taiwan futures exchange. The Quarterly Review of Economics and Finance 70, pages 227-240.
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Olivier Damette. (2015) MIXTURE DISTRIBUTION HYPOTHESIS AND THE IMPACT OF A TOBIN TAX ON EXCHANGE RATE VOLATILITY: A REASSESSMENT. Macroeconomic Dynamics 20:6, pages 1600-1622.
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Patricia L. Chelley-Steeley & Nikos Tsorakidis. (2013) Bid-ask spread dynamics in foreign exchange markets. International Review of Financial Analysis 29, pages 119-131.
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Liang Ding & Jonas Hiltrop. (2010) The electronic trading systems and bid-ask spreads in the foreign exchange market. Journal of International Financial Markets, Institutions and Money 20:4, pages 323-345.
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Liang Ding. (2009) Bid-ask spread and order size in the foreign exchange market: an empirical investigation. International Journal of Finance & Economics 14:1, pages 98-105.
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Luc Bauwens, Dagfinn Rime & Genaro Sucarrat. 2008. High Frequency Financial Econometrics. High Frequency Financial Econometrics 7 29 .
Luc Bauwens, Dagfinn Rime & Genaro Sucarrat. (2005) Exchange rate volatility and the mixture of distribution hypothesis. Empirical Economics 30:4, pages 889-911.
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Russell Poskitt. (2005) Bid/ask spreads in the foreign exchange market: An alternative interpretation. Pacific-Basin Finance Journal 13:5, pages 562-583.
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. 2001. An Introduction to High-Frequency Finance. An Introduction to High-Frequency Finance 356 375 .
Dipak Ghosh. (1997) Negative autocorrelation around large jumps in intra-day foreign exchange data. Economics Letters 56:2, pages 235-241.
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Luc Bauwens, Dagfinn Rime & Genaro Sucarrat. (2005) Exchange Rate Volatility and the Mixture of Distribution Hypothesis. SSRN Electronic Journal.
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Cornelis A. Los & Jeyanthi Karuppiah. (2000) Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997. SSRN Electronic Journal.
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Olivier Damette. (2012) Tobin Tax and Exchange Rate Volatility: A Reassessment. SSRN Electronic Journal.
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Liang Ding, Hao Zou & Vittorio Addona. (2010) Semi-Transparency, Dealership Market and Foreign Exchange Market Quality. SSRN Electronic Journal.
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Liang Ding & Jonas Hiltrop. (2009) The Electronic Trading Systems and Bid-Ask Spreads in the Foreign Exchange Market. SSRN Electronic Journal.
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