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

Modeling and Forecasting Realized Volatility

2003 • 3,810 citations

Market microstructure theory

1995 • 1,457 citations

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

2003 • 1,360 citations

Intraday periodicity and volatility persistence in financial markets

1997 • 1,334 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

The Microstructure Approach to Exchange Rates

2001 • 1,117 citations

On the bias in flexible functional forms and an essentially unbiased form

1981 • 956 citations

Order Flow and Exchange Rate Dynamics

2002 • 914 citations

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

2001 • 825 citations

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns

1997 • 664 citations

A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

1993 • 637 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

Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

2006 • 529 citations

Central bank intervention and exchange rate volatility

1998 • 447 citations

Does foreign-exchange intervention matter? The portfolio effect

1993 • 428 citations

Technical trading rule profitability and foreign exchange intervention

1999 • 404 citations

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

2002 • 387 citations

Trading Patterns and Prices in the Interbank Foreign Exchange Market

1993 • 373 citations

Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of …

1998 • 356 citations

The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior

1998 • 311 citations

Does foreign exchange intervention work?

1995 • 310 citations

The market microstructure of central bank intervention

2002 • 294 citations

Does Foreign Exchange Intervention Work

1993 • 256 citations

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

1997 • 250 citations

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

1996 • 248 citations

News announcements, market activity and volatility in the euro/dollar foreign exchange market

2005 • 219 citations

The Microstructure of Foreign Exchange Markets

1997 • 195 citations

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

2002 • 186 citations

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

2002 • 166 citations

Public information releases, private information arrival and volatility in the foreign exchange market

1997 • 164 citations

Real trading patterns and prices in spot foreign exchange markets

2002 • 155 citations

U.S. Intervention: Assessing the Probability of Success

1999 • 149 citations

Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

2005 • 148 citations

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

2003 • 143 citations

‘Once-in-a-generation’ yen volatility in 1998: fundamentals, intervention, and order flow

2001 • 141 citations

The practice of central bank intervention: looking under the hood

2000 • 139 citations

Technical Trading Rule Profitability and Foreing Exchange Intervention

1996 • 136 citations

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns

1997 • 130 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

The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits

2002 • 110 citations

Foreign exchange market intervention and expectations: The yen/dollar exchange rate

2005 • 109 citations

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

2002 • 108 citations

The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility

2004 • 106 citations

One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System

1996 • 104 citations

Time-varying liquidity in foreign exchange

2002 • 102 citations

Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices

1999 • 99 citations

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

2003 • 83 citations

Central Bank Forex internvention assessed in continous time

1993 • 81 citations

Dollar overvaluation and the world economy

2003 • 81 citations

Communication and Exchange Rate Policy

2004 • 73 citations

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

1997 • 65 citations

Portfolio Balance, Price Impact, and Secret Intervention

2001 • 61 citations

Transparency versus constructive ambiguity in foreign exchange intervention

2003 • 52 citations

An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention

1999 • 50 citations

Transparency versus Constructive Ambiguity in Foreign Exchange Intervention

2003 • 48 citations

Foreign exchange intervention: how to signal policy objectives and stabilise the economy

2003 • 47 citations

Central bank intervention and the intraday process of price formation in the currency markets

2010 • 39 citations

The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations

1999 • 37 citations

Foreign‐Exchange Trading Volume and Federal Reserve Intervention

2001 • 36 citations

The Temporal Pattern of Trading Rule Returns and Central Bank Intervention: Intervention Does Not Generate Technical Trading Rule Profits

2000 • 35 citations

Exchange rate economics: Where do we stand?

2005 • 27 citations

Monetary History, Exchange Rates and Financial Markets

2003 • 27 citations

Central Bank Forex Interventions Assessed Using Realized Moments

2004 • 25 citations

Informative Trading or Just Noise? An Analysis of Currency Returns, Market Liquidity and Transaction Costs in Proximity of Central Bank Interventions

2002 • 25 citations

A Market Microstructure Analysis of Foreign Exchange Intervention in Canada

2002 • 24 citations

Are Different-Currency Assets Imperfect Substitutes?

2005 • 21 citations

Central bank interventions in industrialized countries: a characterization based on survey results

2006 • 19 citations

Is Official Exchange Rate Intervention Effective

2003 • 16 citations

Reuters News Reports versus Official Interventions: A Cautionary Warning

2003 • 13 citations

Volatility expectations and asymmetric effects of direct interventions in the FX market

2003 • 11 citations

Intervention in the Foreign Exchange Market in a Model with Noise Traders

2003 • 10 citations

Intervention in the Foreign Exchange Market in a Model with Noise Traders

2003 • 9 citations

Exchange rate volatility and central bank interventions

2005 • 8 citations