Representativeness of news and exchange rate dynamics
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Publication:953771
DOI10.1016/J.JEDC.2003.08.008zbMATH Open1202.91268OpenAlexW2163289152MaRDI QIDQ953771FDOQ953771
Frank Westerhoff, Sebastiano Manzan
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://cendef.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics/amsterdam-school-of-economics-research-institute/cendef/working-papers-2002/bmw2_rev.pdf?1417180398212
Cites Work
- Continuous Auctions and Insider Trading
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Microeconomic Models for Long Memory in the Volatility of Financial Time Series
- Financial markets as nonlinear adaptive evolutionary systems
Cited In (14)
- Currency manipulation and currency wars: analyzing the dynamics of competitive central bank interventions
- Econometric analysis of microscopic simulation models
- Heterogeneous expectations in the gold market: specification and estimation
- A financial market model with endogenous fundamental values through imitative behavior
- Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets
- Public news announcements and quoting activity in the Euro/Dollar foreign exchange market
- Herding behaviour and volatility clustering in financial markets
- On the specification of noise in two agent-based asset pricing models
- Animal spirits in the foreign exchange market
- Estimation of a structural stochastic volatility model of asset pricing
- Informational differences and learning in an asset market with boundedly rational agents
- Power-law behaviour, heterogeneity, and trend chasing
- Real and financial interacting markets: a behavioral macro-model
- Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
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