Please use this identifier to cite or link to this item:
https://open.uns.ac.rs/handle/123456789/4113
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Gradojević, Nikola | en_US |
dc.date.accessioned | 2019-09-23T10:32:05Z | - |
dc.date.available | 2019-09-23T10:32:05Z | - |
dc.date.issued | 2010-01-01 | - |
dc.identifier.issn | 22172661 | en_US |
dc.identifier.uri | https://open.uns.ac.rs/handle/123456789/4113 | - |
dc.description.abstract | Recent 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.ispartof | International Journal of Industrial Engineering and Management | en |
dc.title | Multiscale analysis of microstructure causality in the foreign exchange market | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.scopus | 2-s2.0-85026352423 | - |
dc.identifier.url | https://api.elsevier.com/content/abstract/scopus_id/85026352423 | - |
dc.description.version | Unknown | en_US |
dc.relation.lastpage | 52 | en |
dc.relation.firstpage | 47 | en |
dc.relation.issue | 2 | en |
dc.relation.volume | 1 | en |
item.fulltext | No Fulltext | - |
item.grantfulltext | none | - |
crisitem.author.dept | Fakultet tehničkih nauka | - |
crisitem.author.parentorg | Univerzitet u Novom Sadu | - |
Appears in Collections: | FTN Publikacije/Publications |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.