The Market Microstructure of Central Bank Intervention

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

1998 • 1,873 citations

Market Microstructure Theory.

1996 • 1,263 citations

Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

1998 • 1,222 citations

Tests of microstructural hypotheses in the foreign exchange market

1995 • 559 citations

From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

1997 • 545 citations

Empirical research on nominal exchange rates

1995 • 539 citations

Market microstructure

1976 • 533 citations

Does foreign-exchange intervention matter? The portfolio effect

1993 • 428 citations

High frequency data in financial markets: Issues and applications

1997 • 425 citations

Time and the Process of Security Price Adjustment

1992 • 311 citations

A survey of market practitioners’ views on exchange rate dynamics

2000 • 216 citations

Intraday effects of foreign exchange intervention by the Bank of Japan

1998 • 128 citations

Trading Patterns and Prices in the Interbank Foreign Exchange Market

1993 • 122 citations

Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information

1996 • 74 citations

Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market

1997 • 65 citations

Information sharing and central bank intervention in the foreign exchange market

2001 • 46 citations

The Microstructure of Foreign Exchange Dynamics

1997 • 44 citations

Treasury and Federal Reserve Foreign Exchange Operations

2001 • 43 citations

Order Flow and Exchange Rate Dynamics

2017 • 32 citations

The inefficiency of Reuters foreign exchange quotes

1998 • 31 citations

On the Intradaily Performance of GARCH Processes

2000 • 31 citations

Central Bank Intervention and Exchange Rate Volatility

1999 • 30 citations

INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES

1989 • 24 citations

Foreign Exchange Market Trading Volume and Federal Reserve Intervention

1999 • 17 citations

The Microstructure Approach to Exchange Rates

2009 • 13 citations

Government Intervention and Adverse Selection Costs in Foreign Exchange Markets

2000 • 10 citations

What are the Origins of Foreign Exchange Movements

2005 • 8 citations