Finance

Foreign Exchange

Technical Analysis

Long Memory

Scaling

Distributions

Most Cited Papers

  1. GROSSMAN, S.J., et al., 1978. On the impossibility of informationally efficient markets. [Cited by 717]
  2. DORNBUSCH, R. and RUDIGER, 1976. Expectations and Exchange Rate Dynamics. The Journal of Political Economy. [Cited by 690]
  3. OBSTFELD, M., K.S. ROGOFF and M.P. PAGE, 1995. The mirage of fixed exchange rates. [Cited by 282]
  4. DUMAS, B., B. SOLNIK and M.P. PAGE, 1993. The World Price of Foreign Exchange Risk. NBER Working Paper. [Cited by 195]
  5. TAYLOR, M.P. and H. ALLEN, 1992. The use of technical analysis in the foreign exchange market. Journal of International Money and Finance. [Cited by 186]
  6. FRANKEL, J.A. and K.A. FROOT, 1987. Using survey data to test standard propositions regarding exchange rate expectations. American Economic Review. [Cited by 185]
  7. ENGLE, R.F., et al., Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. [Cited by 183]
  8. JORION, P., 1995. Predicting volatility in the foreign exchange market. Journal of Finance. [Cited by 175]
  9. FROOT, K.A. and R.H. THALER, 1990. Foreign Exchange. Journal of Economic Perspectives. [Cited by 168]
  10. LYONS, R.K. and M.P. PAGE, 1993. Tests of Micro-structural Hypotheses in the Foreign Exchange Market. NBER Working Paper No. [Cited by 161]
  11. DOMINGUEZ, K.M. and J.A. FRANKEL, 1993. Does Foreign Exchange Intervention Work?. print.google.com. [Cited by 150]
  12. GUILLAUME, D.M., et al., 1997. … the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange …. Finance and Stochastics. [Cited by 147]
  13. JORION, P., 1988. On jump processes in the foreign exchange and stock markets. Review of Financial Studies. [Cited by 144]
  14. HSIEH, D.A., 1989. Testing for Nonlinear Dependence in Daily Foreign Exchange Rates. Journal of Business. [Cited by 141]
  15. HODRICK, R.J., 2001. The empirical evidence on the efficiency of forward and futures foreign exchange markets. London: Routledge. [Cited by 138]
  16. DACOROGNA, M.M., et al., 1993. A Geographical Model for the Daily and Weekly Seasonal Volatility in the Foreign Exchange Market. Journal of International Money and Finance. [Cited by 136]
  17. HSIEH, D.A., 1989. Modeling Heteroskedasticity in Daily Foreign Exchange Rates. Journal of Business and Economic Statistics. [Cited by 135]
  18. BEKAERT, G., R.J. HODRICK and M.P. PAGE, 1991. Characterizing predictable components in excess returns on equity and foreign exchange markets. [Cited by 131]
  19. SARNO, L. and M.P. TAYLOR, 2001. Official intervention in the foreign exchange market: is it effective, and, if so, how does it work?. [Cited by 121]
  20. LEVICH, R., L. THOMAS and M.P. PAGE, 1991. The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap …. NBER Working Paper No. [Cited by 113]
  21. GHASHGHAIE, S., et al., 1996. Turbulent cascades in foreign exchange markets. Nature. [Cited by 112]
  22. DOMOWITZ, I. and C.S. HAKKIO, 1983. Conditional variance and the risk premium in the foreign exchange market. [Cited by 112]
  23. FRANKEL, J.A., K.A. FROOT and M.P. PAGE, 1990. Chartists, fundamentalists, and trading in the foreign exchange market. American Economic Review. [Cited by 108]
  24. NEELY, C.J., P. WELLER and R. DITTMAR, 1996. Is technical analysis in the foreign exchange market profitable?: a genetic programming approach. [Cited by 107]
  25. CHEUNG, Y.W., 1990. Long memory in foreign exchange rates. [Cited by 106]