Please use this identifier to cite or link to this item: https://open.uns.ac.rs/handle/123456789/4113
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dc.contributor.authorGradojević, Nikolaen_US
dc.date.accessioned2019-09-23T10:32:05Z-
dc.date.available2019-09-23T10:32:05Z-
dc.date.issued2010-01-01-
dc.identifier.issn22172661en_US
dc.identifier.urihttps://open.uns.ac.rs/handle/123456789/4113-
dc.description.abstractRecent scholarly work on the causal relationship between exchange rate movements and currency order flows has provided mixed results. This paper proposes a wavelet approach for determining multiscale causality between the Canada/U.S. dollar returns and aggregate market order flow. Evidence of bi-directional causality that contradicts the microstructure literature is found for almost all time scales. Multiresolution analysis identifies significant structural breaks in the data that are potentially driving such findings.en
dc.relation.ispartofInternational Journal of Industrial Engineering and Managementen
dc.titleMultiscale analysis of microstructure causality in the foreign exchange marketen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.scopus2-s2.0-85026352423-
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/85026352423-
dc.description.versionUnknownen_US
dc.relation.lastpage52en
dc.relation.firstpage47en
dc.relation.issue2en
dc.relation.volume1en
item.fulltextNo Fulltext-
item.grantfulltextnone-
crisitem.author.deptFakultet tehničkih nauka-
crisitem.author.parentorgUniverzitet u Novom Sadu-
Appears in Collections:FTN Publikacije/Publications
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