Asymmetric price impacts of order flow on exchange rate dynamics [electronic resource] / Viet Hoang...
Asymmetric price impacts of order flow on exchange rate dynamics [electronic resource] / Viet Hoang...
Asymmetric price impacts of order flow on exchange rate dynamics [electronic resource] / Viet Hoang Nguyen and Yongcheol Shin.
About this item
Full title
Author / Creator
Publisher
[Parkville, Vic.] : Melbourne Institute of Applied Economic and Social Research, University of Melbourne, 2011.
Date
2011.
Record Identifier
MMS ID
Language
English
Formats
Publication information
Publisher
[Parkville, Vic.] : Melbourne Institute of Applied Economic and Social Research, University of Melbourne, 2011.
Series
Place of Publication
Victoria
Date Published
2011.
Subjects
More information
Scope and Contents
Summary
We generalize the portfolio shifts model advanced by Evans and Lyons (2002a; b), and develop the dynamic asymmetric portfolio shifts (DAPS) model by explicitly allowing for possible market under- and overreactions and for asymmetric pricing impacts of order flows. Using the Reuters D2000-1 daily trading data for eight currency markets over a four-...
Alternative Titles
Full title
Asymmetric price impacts of order flow on exchange rate dynamics [electronic resource] / Viet Hoang Nguyen and Yongcheol Shin.
Authors, Artists and Contributors
Author / Creator
Notes
General note
Melbourne Institute working paper series, 1447-5863 ; no. 14/11.
Melbourne Institute working paper, 1447-5863 ; no. 14/11.
Title from title screen (viewed on September 1, 2011)
"June 2011".
Includes bibliographical references (p. 26-29)
Additional physical form availability note
Also available in a print version.
System details note
Mode of access: Internet via the World Wide Web. Address as at 01/09/2011: http://www.melbourneinstitute.com/downloads/working_paper_series/wp2011n14.pdf.
System requirements: Adobe Acrobat reader to read pdf file.
Contextual Information
Other version (online)
Identifiers
Primary Identifiers
Record Identifier
74VvKBNMvkyl
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74VvKBNMvkyl
Other Identifiers
ISBN
9780734042460
DDC
332.456
MMS ID
991007958179702626
