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Michael Melvin : Citation Profile


Are you Michael Melvin?

University of California-San Diego (UCSD)

17

H index

27

i10 index

1024

Citations

RESEARCH PRODUCTION:

54

Articles

16

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   34 years (1982 - 2016). See details.
   Cites by year: 30
   Journals where Michael Melvin has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 18 (1.73 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme60
   Updated: 2018-02-17    RAS profile: 2017-11-08    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Melvin.

Is cited by:

Menkhoff, Lukas (36)

Rime, Dagfinn (30)

Evans, Martin (25)

Lyons, Richard (18)

King, Michael (17)

Ito, Takatoshi (17)

Kutan, Ali (16)

Sarno, Lucio (16)

Schmeling, Maik (15)

Schmukler, Sergio (13)

Fatum, Rasmus (11)

Cites to:

Taylor, Mark (17)

Ito, Takatoshi (13)

Lyons, Richard (9)

Evans, Martin (7)

Engle, Robert (7)

Easley, David (6)

Payne, Richard (6)

Fatum, Rasmus (6)

Hau, Harald (6)

Pedersen, Lasse (5)

Dominguez, Kathryn (5)

Main data


Where Michael Melvin has published?


Journals with more than one article published# docs
Journal of International Money and Finance6
Journal of International Economics3
The Review of Economics and Statistics3
Pacific-Basin Finance Journal3
Economic Inquiry3
Journal of Money, Credit and Banking3
Journal of Empirical Finance3
American Economic Review2
Proceedings2
International Journal of Finance & Economics2
Economics Letters2
Economic Development and Cultural Change2

Working Papers Series with more than one paper published# docs
CESifo Working Paper Series / CESifo Group Munich8
Working Papers / Department of Economics, W. P. Carey School of Business, Arizona State University3

Recent works citing Michael Melvin (2018 and 2017)


YearTitle of citing document
2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: CREATES Research Papers. RePEc:aah:create:2017-12.

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2017FX swaps and forwards: missing global debt?. (2017). McGuire, Patrick ; McCauley, Robert ; BORIO, Claudio. In: BIS Quarterly Review. RePEc:bis:bisqtr:1709e.

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2017LIQUIDITY RISK AND TIME-VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNS. (2017). Mo, Kuk . In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:898-919.

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2017Dealer Trading at the Fix. (2017). Osler, Carol ; Turnbull, Alasdair . In: Working Papers. RePEc:brd:wpaper:101r.

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2017Return of the Japan premium in the abenomics period. (2017). Suzuki, Yoshiko . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00120.

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2017Effect of Economic Announcements on FX Fluctuations: Testing a Unified Approach for Prediction. (2017). Tianqiong, Wang ; Saddique, Shamila ; Yang, Shu . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-83.

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2017Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180.

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2017Co-authorship and research productivity in economics: Assessing the assortative matching hypothesis. (2017). SERRANITO, Francisco ; Besancenot, Damien ; Huynh, Kim . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:61-80.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Chang, Ya-Ting ; Hsu, Chih-Chiang ; Gau, Yin-Feng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2017Mispricing in the odd lots market in Brazil. (2017). Ramos, Henrique P ; Righi, Marcelo B ; Perlin, Marcelo S. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:618-628.

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2017Foreign exchange predictability and the carry trade: A decomposition approach. (2017). Liu, Xiaochun ; Gospodinov, Nikolay ; Anatolyev, Stanislav ; Jamali, Ibrahim . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:199-211.

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2017Systemic risk in carry-trade portfolios. (2017). Liu, Chih-Liang ; Yang, Hsin-Feng . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:40-46.

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2017The forex fixing reform and its impact on cost and risk of forex trading banks. (2017). Yamada, Masahiro ; Ito, Takatoshi. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:157-162.

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2017How security prices respond to a surge in investor attention: Evidence from Google Search of ADRs. (2017). Tang, Wenbin ; Zhu, Lili . In: Global Finance Journal. RePEc:eee:glofin:v:33:y:2017:i:c:p:38-50.

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2017Puzzles in the Tokyo fixing in the forex market: Order imbalances and Bank pricing. (2017). Ito, Takatoshi ; Yamada, Masahiro . In: Journal of International Economics. RePEc:eee:inecon:v:109:y:2017:i:c:p:214-234.

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2017The specific shapes of gender imbalance in scientific authorships: A network approach. (2017). Araújo, Tanya ; Fontainha, Elsa ; Araujo, Tanya . In: Journal of Informetrics. RePEc:eee:infome:v:11:y:2017:i:1:p:88-102.

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2017Simple measures of market efficiency: A study in foreign exchange markets. (2017). Kitamura, Yoshihiro. In: Japan and the World Economy. RePEc:eee:japwor:v:41:y:2017:i:c:p:1-16.

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2017Central banks and macroeconomic policy choices: Relaxing the trilemma. (2017). Steiner, Andreas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:283-299.

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2017Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:283-300.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56.

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2017Macroeconomic announcements and price discovery in the foreign exchange market. (2017). Wu, Zhen-Xing ; Gau, Yin-Feng. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:232-254.

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2018Did the reform fix the London fix problem?. (2018). Ito, Takatoshi ; Yamada, Masahiro . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:75-95.

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2017On the nonlinear relation between crude oil and gold. (2017). Kumar, Satish. In: Resources Policy. RePEc:eee:jrpoli:v:51:y:2017:i:c:p:219-224.

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2017Does oil predict gold? A nonparametric causality-in-quantiles approach. (2017). Shahbaz, Muhammad ; Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:257-265.

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2017Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model. (2017). Kanjilal, Kakali ; Ghosh, Sajal . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:358-365.

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2017The synchronized and exceptional price performance of oil and gold: Explanations and prospects. (2017). Aguilera, Roberto F ; Radetzki, Marian. In: Resources Policy. RePEc:eee:jrpoli:v:54:y:2017:i:c:p:81-87.

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2017Timing liquidity in the foreign exchange market: Did hedge funds do it?. (2017). Luo, JI ; Li, Baibing ; Tee, Kai-Hong . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:40:y:2017:i:c:p:47-62.

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2017Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective. (2017). Shen, Dehua ; Zhang, Wei ; Bi, Zhengzheng . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:467:y:2017:i:c:p:345-355.

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2017Intraday industry-specific spillover effect in European equity markets. (2017). Mateus, Cesario ; Chinthalapati, Raju . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:278-298.

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2017Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis. (2017). Agudelo, Diego ; Gutierrez, Marcela ; Cardona, Laura . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:115-127.

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2017On the predictability of carry trade returns: The case of the Chinese Yuan. (2017). Sinnakkannu, Jothee ; Ramasamy, Sockalingam . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:358-376.

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2017Investor heterogeneity, trading account types and competing liquidity channels for Malaysian stocks. (2017). Lim, Kian-Ping ; Hooy, Chee-Wooi ; Thian, Tze-Chung . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:220-234.

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2017What determines the Japanese corporate credit spread? A new evidence. (2017). , ; Ahsan, Amirul ; Cooper, Peter ; Chazi, Abdelaziz . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:354-361.

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2017Credit supply constraints and financial policies of listed companies during the 2007–2009 financial crisis. (2017). Ali, Syed Zulfiqar ; Akbar, Saeed ; Ur, Shafiq ; Liu, Jia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:559-571.

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2017Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis. (2017). Welch, Robert ; Tao, Yusi ; ben Omrane, Walid . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:9-30.

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2018On the time-varying links between oil and gold: New insights from the rolling and recursive rolling approaches. (2018). Shahbaz, Muhammad ; Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Working Papers. RePEc:emu:wpaper:15-35.pdf.

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2017Improving on daily measures of price discovery. (2017). Fernandes, Marcelo ; Scherrer, Cristina Mabel ; Dias, Gustavo Fruet . In: Textos para discussão. RePEc:fgv:eesptd:444.

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2017The Exchange Rate Effects of Macro News after the Global Financial Crisis. (2017). Yamamoto, Yohei ; Fatum, Rasmus ; Cheung, Yin-Wong. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:305.

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2017Equity Market Response to Form 20-F Disclosures for ADR Firms. (2017). Senteney, Michael H ; Bazaz, Mohammad S. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:3:p:233-255.

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2017Racing against Time in Research: A Study of the 1995 U.S. Patent Law Amendment. (2017). Kim, Jinyoung . In: IZA Discussion Papers. RePEc:iza:izadps:dp10815.

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2018The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: Discussion Papers. RePEc:kud:kuiedp:1703.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: KIER Working Papers. RePEc:kyo:wpaper:956.

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2017Bid-Ask Spread Determination in the FX Swap Market: Competition, Collusion or a Convention?. (2017). Stenfors, Alexis. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2017-03.

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2017Does Oil Predict Gold? A Nonparametric Causality-in-Quantiles Approach. (2017). Shahbaz, Muhammad ; Ozdemir, Zeynel ; Balcilar, Mehmet. In: MPRA Paper. RePEc:pra:mprapa:77324.

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2017Forex Trading and the WMR Fix. (2017). Evans, Martin. In: MPRA Paper. RePEc:pra:mprapa:81583.

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2017Performance of Markov-Switching GARCH Model Forecasting Inflation Uncertainty. (2017). Raihan, Tasneem. In: MPRA Paper. RePEc:pra:mprapa:82343.

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2017TIME VARYING CAUSALITY BETWEEN GOLD AND OIL PRICES. (2017). Tuna, Gulfen . In: Romanian Economic Business Review. RePEc:rau:journl:v:12:y:2017:i:1:p:59-67.

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2017Optimal policies in International Macroeconomics. (2017). Alla, Zineddine. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/6kvjk9o32n8m88c6de3gc0gltj.

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2017Rise of Multi-authored Papers in Economics: Demise of the Lone Star and Why?. (2017). Kuld, Lukas ; O'Hagan, John . In: Trinity Economics Papers. RePEc:tcd:tcduee:tep0517.

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2017INDIVIDUAL FOREIGN EXCHANGE INVESTORS, RETURN PREDICTABILITY AND MARKET TIMING. (2017). Abuelfadl, Moustafa. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:01:n:s2010495217500014.

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2017Major Currency ETFs and Their Associated Spot and Futures Rates. (2017). Padungsaksawasdi, Chaiyuth ; Parhizgari, Ali . In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:20:y:2017:i:04:n:s0219091517500266.

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2017Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven. (2017). Czudaj, Robert ; Beckmann, Joscha. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168291.

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Works by Michael Melvin:


YearTitleTypeCited
1982Expected Inflation, Taxation, and Interest Rates: The Delusion of Fiscal Illusion. In: American Economic Review.
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article10
1983Expected Inflation and Interest Rates: Reply. In: American Economic Review.
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article0
The Political Economy of Japans Big Bang In: Working Papers.
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paper1
A Yen is not a Yen: TIBOR/LIBOR and the determinants of the Japan Premium In: Working Papers.
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paper21
2004A Yen is Not a Yen: TIBOR/LIBOR and the Determinants of the Japan Premium.(2004) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 21
article
A Stock Market Boom During a Financial Crisis? ADRs and capital outflows in Argentina In: Working Papers.
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paper30
2003A stock market boom during a financial crisis?: ADRs and capital outflows in Argentina.(2003) In: Economics Letters.
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This paper has another version. Agregated cites: 30
article
2004Why has FX trading surged? In: BIS Quarterly Review.
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article25
1996DOLLARIZATION IN DEVELOPING COUNTRIES: RATIONAL REMEDY OR DOMESTIC DILEMMA? In: Contemporary Economic Policy.
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article5
1985Currency Substitution and Western European Monetary Unification. In: Economica.
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article12
2009The Dark Side of International Cross-Listing: Effects on Rival Firms at Home In: European Financial Management.
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article2
2007The Dark Side of International Cross-Listing: Effects on Rival Firms at Home.(2007) In: CESifo Working Paper Series.
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This paper has another version. Agregated cites: 2
paper
1998Is There Private Information in the FX Market? The Tokyo Experiment In: Journal of Finance.
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article117
1997Is There Private Information in the FX Market? The Tokyo Experiment.(1997) In: NBER Working Papers.
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paper
2016Global Investment Environment of the Post-Quantitative Easing World: The ‘new-old’ and ‘new-new’ Normal In: Pacific Economic Review.
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article0
1996Which Single Currency for Western Europe? In: Review of International Economics.
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article1
2013The choice of direct dealing or electronic brokerage in foreign exchange trading In: Borsa Istanbul Review.
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article0
2008Automating Exchange Rate Target Zones: Intervention via an Electronic Limit Order Book In: CESifo Working Paper Series.
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paper2
2009Bank of England Interest Rate Announcements and the Foreign Exchange Market In: CESifo Working Paper Series.
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paper12
2010Bank of England Interest Rate Announcements and the Foreign Exchange Market.(2010) In: International Journal of Central Banking.
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This paper has another version. Agregated cites: 12
article
2009Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book In: CESifo Working Paper Series.
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paper15
2009Exchange rate management in emerging markets: Intervention via an electronic limit order book.(2009) In: Journal of International Economics.
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This paper has another version. Agregated cites: 15
article
2009The Crisis in the Foreign Exchange Market In: CESifo Working Paper Series.
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paper98
2009The Crisis in the Foreign Exchange Market.(2009) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 98
paper
2009The crisis in the foreign exchange market.(2009) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 98
article
2010Active Currency Investing and Performance Benchmarks In: CESifo Working Paper Series.
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paper2
2013Forecasting Exchange Rates: An Investor Perspective In: CESifo Working Paper Series.
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paper2
2013Forecasting Exchange Rates: an Investor Perspective.(2013) In: Handbook of Economic Forecasting.
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chapter
2016When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds In: CESifo Working Paper Series.
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paper0
2000Public Information Arrival, Exchange Rate Volatility, and Quote Frequency. In: Economic Journal.
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article70
1996Public Information Arrival, Exchange Rate Volatility, and Quote Frequency.(1996) In: Working Papers.
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paper
2004Explaining the dollar/euro exchange rate: the role of policy uncertainty, asymmetric information, and hedging opportunities In: Econometric Society 2004 North American Winter Meetings.
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paper1
1989Dollar currency in Latin America : A Bolivian application In: Economics Letters.
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article14
2007Explaining the early years of the euro exchange rate: An episode of learning about a new central bank In: European Economic Review.
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article2
2005Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects In: Journal of Empirical Finance.
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article66
2008Excess demand and price formation during a Walrasian auction In: Journal of Empirical Finance.
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article4
2002Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen? In: Journal of Empirical Finance.
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article54
2015Equity hedging and exchange rates at the London 4p.m. fix In: Journal of Financial Markets.
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article15
1994Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis In: Journal of International Economics.
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article69
1994Sources of meteor showers and heat waves in the foreign exchange market In: Journal of International Economics.
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article20
2002Before and after international cross-listing: an intraday examination of volume and volatility In: Journal of International Financial Markets, Institutions and Money.
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article11
1989Do centrally planned exchange rates behave differently from capitalist rates? In: Journal of Comparative Economics.
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article3
1991Trade balance news and exchange rates: Is there a policy signal? In: Journal of International Money and Finance.
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article16
2001Once-in-a-generation yen volatility in 1998: fundamentals, intervention, and order flow In: Journal of International Money and Finance.
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article34
2009The global financial crisis: Causes, threats and opportunities. Introduction and overview In: Journal of International Money and Finance.
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article6
1984Trade concentration, openness, and deviations from purchasing power parity In: Journal of International Money and Finance.
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article1
1986Risk in international lending: A dynamic factor analysis applied to France and Mexico In: Journal of International Money and Finance.
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article3
2012International Money and Finance In: Elsevier Monographs.
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book2
1993On the possibility of a yen currency bloc for Pacific-Basin countries: A stochastic dominance approach In: Pacific-Basin Finance Journal.
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article2
2014Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation In: Pacific-Basin Finance Journal.
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article4
1997U.S. protectionist policy and stock prices of U.S. import-competing and Korean and Taiwanese export-oriented firms In: Pacific-Basin Finance Journal.
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article0
1992Economic fundamentals and a yen currency area for Asian Pacific Rim countries In: Proceedings.
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article0
1992Economic fundamentals and a yen currency area for Asian Pacific Rim countries.(1992) In: Proceedings.
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This paper has another version. Agregated cites: 0
article
2005Tokyo insiders and the informational efficiency of the yen|dollar exchange rate In: International Journal of Finance & Economics.
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article4
2006Explaining trading volume in the euro In: International Journal of Finance & Economics.
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article4
1998Twice a day or continuously? Observation frequency and inference on foreign exchange volatility persistence In: Atlantic Economic Journal.
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article2
1990The choice of an invoicing currency in international trade and the balance of trade impact of currency depreciation In: Open Economies Review.
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article4
1985The Choice of an Exchange Rate System and Macroeconomic Stability. In: Journal of Money, Credit and Banking.
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article40
1991Coca Dollars and the Dollarization of South America. In: Journal of Money, Credit and Banking.
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article9
2007Exchange Rates and FOMC Days In: Journal of Money, Credit and Banking.
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article10
2000Information, Announcement, and Listing Effects of ADR Programs and German-U.S. Stock Market Integration In: Multinational Finance Journal.
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article0
1983An Alternative Approach to International Capital Flows In: NBER Chapters.
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chapter0
1999Japans Big Bang and the Transformation of Financial Markets In: NBER Working Papers.
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paper6
1983The Vanishing Liquidity Effect of Money on Interest: Analysis and Implications for Policy. In: Economic Inquiry.
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article30
1985A Country Risk Index: Econometric Formulation and an Application to Mexico. In: Economic Inquiry.
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article2
1991Exchange Rate Systems and Investor Preferences. In: Economic Inquiry.
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article0
1996Foreign Exchange Market Bid-Ask Spreads and the Market Price of Social Unrest. In: Oxford Economic Papers.
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article17
1983The Determinants of Co-Authorship: An Analysis of the Economics Literature. In: The Review of Economics and Statistics.
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article47
1989The U.S. Budget Deficit and the Foreign Exchange Value of the Dollar. In: The Review of Economics and Statistics.
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article0
2003The Global Transmission of Volatility in the Foreign Exchange Market In: The Review of Economics and Statistics.
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article55
1988The Dollarization of Latin America as a Market-Enforced Monetary Reform: Evidence and Implications. In: Economic Development and Cultural Change.
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article14
1990Property Rights, Development, and Velocity in Developing Countries. In: Economic Development and Cultural Change.
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article1
1990South African political unrest, oil prices, and the time varying risk premium in the gold futures market In: Journal of Futures Markets.
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article27

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