논문KCI 등재
원/달러 환율의 거래관련 정보와 변동성간의 관계: 고빈도 실거레 자료를 중심으로
Exploring Empirical Relationship between Volatility and Transaction-related Variables in KRW/USD using HighFrequency Data
2
조회
0
다운로드
4
인용
0
참고문헌
키워드
주제분류경제학
참고문헌 (35)
- 정재식, "원", 달러 환율의 실현변동성, 2003, pp.(2), 55~78
- 정재식, "원", 달러 환율의 실현변동성과 외환거래량과의 관계, 2004, pp.52(1), 5~28
- 정재식, "Information flow and trading volumes in foreign exchange markets: The cases of Japan and Korea(Working Paper)" (2003), 서강대학교 경제학과
- 주상영, "외환거래량과 원", 달러 환율변동성의 장기기억효과에 대한 연구, 2000, pp.48(3), 27~55
- Admati, A. R, "A Theory of Intraday Patterns: Volume and Price Variability", The Review of Financial Studies, 1, pp.3~40 (1988)
- Andersen, T. G, "Return Volatility and Trading Volume: An information Flow Interpretation of Stochastic Volatility", Journal of Finance, 51, pp.169~204 (1996)
- Andersen, T. G, "Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts", International Economic Review, 39(4), pp.885~905 (1998)
- Andersen, T. G, "Modeling and Foreacsting Realized Volatility", Econometrica, 71(2), pp.579~625 (2003)
- Batten, J, "Volume and Volatility in yen futures markets: within and across three different exchanges" (1993), Macquarie University Working Paper
- Beran, J, "MLE of the Differencing Parameter for Invertible Short and Long Memory ARIMA Models", Journal of Royal Statistical Society Series B, 57(4), pp.659~672 (1995)
- Bollersleve, T, "Trading pattersn and prices in the interbank foreign exchange market", Journal of Finance, 48, pp.1421~1443 (1993)
- Copeland, T, "A Model of Asset Trading under the Assumption of Sequential Information Arrival", Journal of Finance, 31, pp.1149~1168 (1976)
- Clark, P. K, "A subordinated stochastic process model with finite variance for speculative prices", Econometrica, 41, pp.135~155 (1973)
- Easley D, "Time and Process of Security Price Adjustment", Journal of Finance, XLVII(2), pp.577~605 (1992)
- Engle, R. F, "The Econometrics of Ultra-High-Frequency Data", Econometrica, 68(1), pp.1~22 (2000)
- Engle, R. F, "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data", Econometrica, 66(5), pp.1127~1162 (1998)
- Evans M. D. D, "Order Flow and Exchange Rate Dynamics", Journal of Political Economy, pp.170~180 (2002)
- Gallant, A. R, "Which moments to mathc?", Econometric Theory, 12, pp.657~681 (1996)
- Gallant, A. R, "Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance", The Review of Economics and Statistics, 81(4), pp.617~631 (1999)
- Glosten, L, "Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Trader", Journal of Financial Economics, 13, pp.71~100 (1985)
- Goodhart, C. A. E, "Every minutecounts in financial markets", Journal of International Money and Finance, 10, pp.23~52 (1991)
- Hasbrouck, J, "Measuring the Information Content of Stock Trades", Journal of Finance, 46(1), pp.179~207 (1991)
- Hsieh, D, "Bid-Ask Spreads in Foreign Exchange Markets: Implications for Models of Asymmetric Information(The Microstructure of Foreign Exchange Markets )" (1996), Chicago University Press
- Trading Volumes, Volatility and Spreads in Foreign Exchange Markets: Evidence from Emerging Market Countries, "Galati, G", ~, pp.BIS Working Papers, No. 93 (2000)
- Goodhart, G, "One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System, in The Microstructure of Foreign Exchange Markets" (1996), Chicago University Press
- Jorion, P, "Risk and Turnover in the Foreign Exchange Market, in The Microstructure of Foreign Exchange Markets" (1996), Chicago University Press
- Liesenfeld, R, "Dynamic Bivariate Mixture Models: Modeling the Behavior of Prices and Trading Volume", Journal of Business and Economic Statistics, 18, pp.101~109 (1998)
- Lo, A, "When Are Contrarian Profits Due to Stock Market Overreaction?", Review of Financial Studies, 3, pp.175~205 (1990)
- Lyons, R. K, "The Microstructure Approach to Exchange Rates" (2001), MIT Press
- Lyons, R. K, "Order flow and Exchange Rate Dynamics", Journal of Political Economy, pp.170~180 (2002)
- Melvin, M, "Public Information Arrival, Exchange Rate Volatility and Quote Frequency", Economic Journal, 110, pp.644~61 (2000)
- Roll, R, "A simple implicit measure of the effective bid-ask spread in an efficient market", Journal of Finance, 39, pp.1127~39 (1984)
- O’Hara, M, "Market Microstrucutre Theory" (1995), Oxford, England: Basil Blackwell
- Smirlock, M, "A Further Examination of Stock Price Changes and Transaction Volume", Journal of Financial Research, 8(3), pp.217~225 (1985)
- Tauchen, G, "The Price Variability Volume Relationship on Speculative Markets", Econometrica, 51, pp.485~505 (1983)
관련 논문AI추천
통화선물 및 현물거래량이원/달러 환율변동성에 미치는 영향정재식, 주상영한국국제통상학회 · 국제통상연구2003 · 제8권 제2호원/달러 換率의 實現變動性과 外換 去來量과의 관계정재식, 주상영한국경제학회 · 경제학연구2004 · 제52권 제1호원/달러 환율의 실현변동성李昇汶, 朱尙榮, 鄭在植대외경제정책연구원 · East Asian Economic Review2003 · 제7권 제2호원/달러 환율의 실현변동성李昇汶, 朱尙榮, 鄭在植대외경제정책연구원 · East Asian Economic Review2003 · 제7권 제2호코스피, 회사채 유통수익률 및 원달러 환율의 변동성간의 관련성에 대한 연구김경수한국국제회계학회 · 국제회계연구2006 · 제16호주문흐름과 원/달러 환율의 동태관계 분석정재식한국응용경제학회 · 응용경제2009 · 제11권 제1호
