Order Flow and Exchange Rate Dynamics

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Empirical exchange rate models of the seventies

1983 • 4,141 citations

Exchange Rate Dynamics Redux

1995 • 2,107 citations

The handbook of international economics

1995 • 1,494 citations

Do Demand Curves for Stocks Slope Down?

1986 • 1,451 citations

The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices

1972 • 944 citations

Transactions, Volume, and Volatility

1994 • 888 citations

Tests of microstructural hypotheses in the foreign exchange market

1995 • 559 citations

Demand Curves for Stocks Do Slope Down: New Evidence from an Index Weights Adjustment

2000 • 385 citations

A simultaneous trade model of the foreign exchange hot potato

1997 • 314 citations

Is There Private Information in the FX Market? The Tokyo Experiment

1998 • 290 citations

Exchange Rate Economics

1996 • 286 citations

Dutch Auction Repurchases: An Analysis of Shareholder Heterogeneity

1992 • 280 citations

Currency Fluctuations in the Post-Bretton Woods Era

1990 • 276 citations

A survey of market practitioners’ views on exchange rate dynamics

2000 • 216 citations

FX Trading and Exchange Rate Dynamics

2002 • 179 citations

Government Intervention and Adverse Selection Costs in Foreign Exchange Markets

2000 • 91 citations

Optimal Transparency in a Dealer Market with an Application to Foreign Exchange

1996 • 83 citations