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Keywords: Microstructure
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Journal Articles
A hybrid approach to exchange rates: How do macro news and order flow affect exchange rate volatility?
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2016) 33 (1): 50–68.
Published: 07 March 2016
... and micro fundamentals in examining exchange rates variation. Particularly, a key element of this study is to use a microstructure fundamental variable, namely, order flow, to capture private information in an exchange rate volatility study. Guangfeng Zhang can be contacted at: guangfeng.zhang...
