Central bank FOREX interventions assessed using realized moments

Modeling and Forecasting Realized Volatility

2003 • 3,810 citations

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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The Distribution of Realized Exchange Rate Volatility

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Autoregressive Conditional Density Estimation

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Market microstructure theory

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Intraday periodicity and volatility persistence in financial markets

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Market Microstructure Theory.

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The Microstructure Approach to Exchange Rates

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An Introduction to High-Frequency Finance

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Maximum likelihood estimation of stationary univariate fractionally integrated time series models

1992 • 1,053 citations

Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?

2001 • 825 citations

Asymmetric volatility transmission in international stock markets

1995 • 749 citations

Central bank intervention and exchange rate volatility

1998 • 447 citations

Does foreign exchange intervention work?

1995 • 310 citations

The market microstructure of central bank intervention

2002 • 294 citations

The role of official intervention

1981 • 275 citations

Central bank intervention and the volatility of foreign exchange rates: evidence from the options market

1996 • 248 citations

The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps

1993 • 222 citations

Why do central banks intervene?

1997 • 219 citations

Is Foreign Exchange Intervention Effective?: The Japanese Experiences in the 1990s

2002 • 186 citations

Optimal Central Bank Intervention in the Foreign Exchange Market

1999 • 185 citations

Intervention strategies and exchange rate volatility: a noise trading perspective

1997 • 185 citations

Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations

2002 • 166 citations

When do central bank interventions influence intra-daily and longer-term exchange rate movements?

2006 • 164 citations

G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models

2002 • 161 citations

Informational integration and FX trading

2002 • 156 citations

Central bank intervention and risk in the forward market

1997 • 156 citations

A friction model of daily Bundesbank and Federal Reserve intervention

1996 • 151 citations

A transaction level study of the effects of central bank intervention on exchange rates

2003 • 143 citations

What prompts Japan to intervene in the Forex market? A new approach to a reaction function

2007 • 142 citations

The practice of central bank intervention: looking under the hood

2000 • 139 citations

Intraday effects of foreign exchange intervention by the Bank of Japan

1998 • 128 citations

Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis

2002 • 108 citations

Central bank interventions and jumps in double long memory models of daily exchange rates

2003 • 83 citations

The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps

1993 • 66 citations

Perceived Central Bank Intervention and Market Expectations: An Empirical Study of the Yen/Dollar Exchange Rate, 1993-96

1999 • 63 citations

Conditional covariances and direct central bank interventions in the foreign exchange markets

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Portfolio Balance, Price Impact, and Secret Intervention

2001 • 61 citations

The Market Microstructure of Central Bank Intervention

1999 • 59 citations

Intervention from an information perspective

2000 • 58 citations

Daily Bundesbank and Federal Reserve Interventions

1994 • 52 citations

Myths and reality of foreign exchange interventions: an application to Japan

2007 • 52 citations

Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models

2000 • 45 citations

An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention

2005 • 43 citations

Reported and secret interventions in the foreign exchange markets

2004 • 41 citations

Exchange rate economics: Where do we stand?

2005 • 27 citations

Central bank interventions and exchange rate band regimes

2001 • 27 citations

Central Bank Forex Interventions Assessed Using Realized Moments

2004 • 25 citations

Why Intervention Rarely Works

2000 • 5 citations