Data Client Papers
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Central Bank Intervention and Exchange Rate Volatility, Its Continous and Jump Components University of Luxembourg, University of Namur, Federal Reserve Bank of St. Louis, Maastricht University August 2006 |
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On the Multi-Fractal Structure of Traded Colume in Financial Markets Centro Brasileiro de Pesquisas Fisicas August 2006 |
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A Nonextensive Approach to the Dynamisc of Financial Observables Centro Brasileiro de Pesquisas Fisicas, Santa Fe Institute June 2006 |
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Identifying the Effects of U.S. Intervention on the Levels of Exchange Rates Federal Reserve Bank of St. Louis May 2006 |
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On Statistical Properties of Traded Volume in Financial Markets Centro Brasileiro de Pesquisas Fisicas May 2006 |
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Estimating and Forecasting Volatility with Large Scale Models: Theoretical Appraisal of Professionals' Practice Imperial College London April 2006 |
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The Technical Signal Based Trading Effects on Volatility: Evidence from the Euro/Dollar Currency Market Catholic University of Louvain March 2006 |
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Japancese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility Louisiana State University, Universitüt Tübingen, American University of Beirut February 2006 |
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General to Specific Modelling of Exchange Rate Volatility:�A Forecast Evaluation Catholic University of Louvain, Universidad Carlos III de Madrid February 2006 |
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Using Self-Organizing Maps to Adjust Intra-Day Seasonality Catholic University of Louvain December 2005 |
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Do Central Bank Interventions Bring Noise on the Market? University of Namur, Catholic University of Louvain December 2005 |
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Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB�Statements De Nederlandsche Bank, University of Groningen November 2005 |
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Variation, Jumps and High Frequency Data in Financial Econometrics University of Aarhus, University of Oxford September 2005 |
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The Performance Analysis of Chart Patterns: Monte Carlo Simulation and Evidence from the Euro/Dollar Foreign Exchange Market Catholic University of Louvain July 2005 |
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Analysis of HFF Data: Models, Methods and Software. Part II: Modeling and Forecsating Realized Variance Measures University of Washington July 2005 |
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Exchange Rate Volatility and the Mixture of Distribution Hypothesis Catholic University of Louvain, Norge Bank April 2005 |
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Time and foreign exchange markets Università degli Studi, L'Aquila April 2005 |
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Analysis of High Frequency Financial Data New York University, University of California - San Diego, University of Chicago December 2004 |
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Rules Versus Discretion in Foreign Exchange Intervention: Evidence from Offical Bank of Canada High-Frequency Data University of Alberta, Bank of Canada October 2004 |
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The Self-Organizing Maps for Seasonality Adjustment (SOM): Application to The Euro/Dollar Foreign Exchange Volatility and Quoting Activity Catholic University of Louvain September 2004 |
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How well can Autoregressive Duration Models Capture the Price Durations Dynamics of Foreign Exchanges Chinese Academy of Sciences, Cornell University, Tsinghua University September 2004 |
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The Foreign Exchange Quoting Activity as an Informative Signal Catholic University of Louvain June 2004 |
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The Predictive Success and Profitability of Chart Patterns in the Euro/Dollar Foreign Exchange Market Catholic University of Louvain May 2004 |
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Intraday Empirical Analysis and Modeling of Diversified World Stock Indices ETH - Zurich, University of Technology - Sydney May 2004 |
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Econometrics of Testing for Jumps in Financial Economics using Bipower Variation University of Aarhus, University of Oxford November 2003 |
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Effectiveness of Official Daily Foreign Exchange market Intervention Operations in Japan University of Alberta, University of California - Santa Cruz November 2003 |
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Analysis of High-Frequency Financial Data with S-Plus University of Washington November 2003 |
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The Response of Individual FX Dealers'�Quoting Activity to Macroeconomic News Announcements Catholic University of Louvain September 2003 |
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When do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements National Bureau of Economic Research, University of Michigan July 2003 |
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Pouvoir Predictif et Profitabilite des Figures Chartistes: Application au Marche des Changes Euro/Dollar Université Catholique de Louvain June 2003 |
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Central Bank Interventions and Jumps in Double Long Memory Models of Daily Exchange Rates Université Libre de Bruxelles, Université Catholique de Louvain, Université de Liège, Maastricht University January 2003 |
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Dependence Structures for Multivariate High Frequency Data in Finance ETH - Zurich January 2003 |
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Microstructures in the Indian Foreign Exchange Market Institute of Economic Growth, University of Delhi Enclave December 2002 |
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Dynamical model of Financial Markets: Fluctuating 'Temperature' causes Intermittent Behavior of Price Changes Hitachi High-Technologies Corporation, Tokyo Metropolitan University October 2002 |
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Y2K Fears and Safe Haven Trading of the US Dollar University of Alberta, Richard Ivey Scholl of Business, University of Western Ontario October 2002 |
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Microeconomic Models for Long_memory in the Volatility of Financial Time Series Groupement de Recherche en Economie, Quantitative d'Aix-Marseille (GREQAM), Catholic University of Louvain, Center for Operations Research and Econometrics (CORE) October 2002 |
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Measuring and Forecasting Financial Variability using Realised Variance with and without a Model Center for Mathematical Physics and Stockastics (MaPhySto), University of Aarhus, Nuffiled College, University of Oxford Dept. of Statistics October 2002 |
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A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates Financial Markets Group, London School of Economics September 2002 |
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What can we learn about Monetary Policy Transparency from Financial Market Data Bank of England February 2001 |
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Scaling in Financial Prices: II. Multifractals and the Star Equation Yale University November 2000 |
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How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market Institute für Theoretische Physik, Universität Oldenberg November 1999 |
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The Market Microstructure of Central Bank Intervention National Bureau of Economic Research, University of Michigan September 1999 |
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Multifractality of Deutschmark / US�Dollar Exchange Rates Yale University September 1997 |
High-Frequency Finance
A brief introduction to the new science of high-frequency finance and the key factors that challenge the conventional "efficient market hypothesis".