5
H index
4
i10 index
133
Citations
Victoria University of Wellington | 5 H index 4 i10 index 133 Citations RESEARCH PRODUCTION: 4 Articles 9 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Staff Working Papers / Bank of Canada | 9 |
Year | Title of citing document |
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2020 | Pattern 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
2020 | JUMPS, 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. Full description at Econpapers || Download paper |
2020 | Is 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. Full description at Econpapers || Download paper |
2020 | Liquidity 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. Full description at Econpapers || Download paper |
2020 | Examining 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. Full description at Econpapers || Download paper |
2020 | Market 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. Full description at Econpapers || Download paper |
2020 | Market 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. Full description at Econpapers || Download paper |
2020 | Whose 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. Full description at Econpapers || Download paper |
2020 | Intraday 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. Full description at Econpapers || Download paper |
2020 | Do 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. Full description at Econpapers || Download paper |
2020 | Intraday 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. Full description at Econpapers || Download paper |
2021 | Dynamics 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. Full description at Econpapers || Download paper |
2020 | Greek 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. Full description at Econpapers || Download paper |
2020 | Are 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. Full description at Econpapers || Download paper |
2020 | The 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2005 | Order Submission: The Choice between Limit and Market Orders In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
2005 | An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
2006 | A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
2007 | Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market? In: Staff Working Papers. [Full Text][Citation analysis] | paper | 22 |
2010 | Order aggressiveness and quantity: How are they determined in a limit order market?.(2010) In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
2007 | Price Formation and Liquidity Provision in Short-Term Fixed Income Markets In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market In: Staff Working Papers. [Full Text][Citation analysis] | paper | 2 |
2011 | Private Information Flow and Price Discovery in the U.S. Treasury Market In: Staff Working Papers. [Full Text][Citation analysis] | paper | 5 |
2014 | Private information flow and price discovery in the U.S. treasury market.(2014) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2011 | Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market In: Staff Working Papers. [Full Text][Citation analysis] | paper | 10 |
2011 | Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 76 |
2008 | The 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. [Full Text][Citation analysis] | article | 12 |
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