Ingrid Ka Man Lo : Citation Profile


Are you Ingrid Ka Man Lo?

Victoria University of Wellington

5

H index

4

i10 index

133

Citations

RESEARCH PRODUCTION:

4

Articles

9

Papers

RESEARCH ACTIVITY:

   9 years (2005 - 2014). See details.
   Cites by year: 14
   Journals where Ingrid Ka Man Lo has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 4 (2.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo401
   Updated: 2021-02-20    RAS profile: 2016-02-08    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ingrid Ka Man Lo.

Is cited by:

Dungey, Mardi (6)

Bień-Barkowska, Katarzyna (6)

Li, Youwei (4)

Urga, Giovanni (4)

Stenfors, Alexis (4)

Mehl, Arnaud (3)

Fleming, Michael (3)

Corsetti, Giancarlo (3)

Rime, Dagfinn (3)

Lafarguette, Romain (3)

Alquist, Ron (2)

Cites to:

Foucault, Thierry (16)

Vega, Clara (5)

Engle, Robert (5)

Bollerslev, Tim (5)

Andersen, Torben (5)

Lyons, Richard (4)

Evans, Martin (4)

Neely, Christopher (4)

Viswanathan, S (4)

Easley, David (4)

Biais, Bruno (4)

Main data


Where Ingrid Ka Man Lo has published?


Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada9

Recent works citing Ingrid Ka Man Lo (2021 and 2020)


YearTitle of citing document
2020Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

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2020The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News. (2020). Jin, Jianjian ; Ellwanger, Reinhard ; Alquist, Ron. In: Staff Working Papers. RePEc:bca:bocawp:20-8.

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2020JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY. (2020). Yin, Xiangkang ; Zhao, Jing ; Xiao, Yuewen. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:705-731.

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2020Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. (2020). Broto, Carmen ; Lamas, Matias. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:217-229.

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2020Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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2020Examining stress in Asian currencies: A perspective offered by high frequency financial market data. (2020). Treepongkaruna, Sirimon ; Matei, Marius ; Dungey, Mardi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300846.

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2020Market quality around macroeconomic news announcements: Evidence from the Australian stock market. (2020). Indriawan, Ivan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x18300428.

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2020Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets. (2020). Gao, Yang ; Sun, Bianxia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318539.

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2020Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50.

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2020Intraday price jumps, market liquidity, and the magnet effect of circuit breakers. (2020). Zhou, Jie ; Jian, Zhi Hong ; Wu, Shuai ; Zhu, Zhican. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:168-186.

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2020Do aggressive orders affect liquidity? An evidence from an emerging market. (2020). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920303780.

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2020Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds. (2020). Jurdi, Doureige J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:118-:d:367863.

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2021Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengecti, Suleyman. In: MPRA Paper. RePEc:pra:mprapa:105162.

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2020Greek sovereign crisis and European exchange rates: effects of news releases and their providers. (2020). Garefalakis, Alexandros ; Floros, Christos ; Vortelinos, Dimitrios ; Gkillas, Konstantinos ; Sariannidis, Nikolaos. In: Annals of Operations Research. RePEc:spr:annopr:v:294:y:2020:i:1:d:10.1007_s10479-019-03199-x.

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2020Are Corn Futures Prices Getting “Jumpy”?. (2020). Couleau, Anabelle ; Garcia, Philip ; Serra, Teresa. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:102:y:2020:i:2:p:569-588.

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2020The effect of oil price shocks on asset markets: Evidence from oil inventory news. (2020). Alquist, Ron ; Jin, Jianjian ; Ellwanger, Reinhard. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:8:p:1212-1230.

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Works by Ingrid Ka Man Lo:


YearTitleTypeCited
2005Order Submission: The Choice between Limit and Market Orders In: Staff Working Papers.
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paper2
2005An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate In: Staff Working Papers.
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paper1
2006A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market In: Staff Working Papers.
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paper2
2007Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market? In: Staff Working Papers.
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paper22
2010Order aggressiveness and quantity: How are they determined in a limit order market?.(2010) In: Journal of International Financial Markets, Institutions and Money.
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This paper has another version. Agregated cites: 22
article
2007Price Formation and Liquidity Provision in Short-Term Fixed Income Markets In: Staff Working Papers.
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paper1
2008Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market In: Staff Working Papers.
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paper2
2011Private Information Flow and Price Discovery in the U.S. Treasury Market In: Staff Working Papers.
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paper5
2014Private information flow and price discovery in the U.S. treasury market.(2014) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 5
article
2011Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market In: Staff Working Papers.
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paper0
2014High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market In: Staff Working Papers.
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paper10
2011Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market In: Journal of Financial and Quantitative Analysis.
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article76
2008The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system In: Journal of International Money and Finance.
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article12

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