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Chaboud, Alain's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
4,731 |
Total
Citations
147 |
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1.
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Vega, Clara
Board of Governors of the Federal Reserve System Chiquoine, Ben
Federal Reserve Board - Division of International Finance
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06 Nov 09
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Last Revised:
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21 Feb 13
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1,913
(3,047)
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39
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algorithmic trading, volatility, liquidity provision, private information
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2.
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Gagnon, Joseph
Peterson Institute Chaboud, Alain
Federal Reserve Board - Division of International Finance
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786
(13,469)
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11
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foreign exchange, interest rate parity, hedge fund
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3.
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Chernenko, Sergey
Ohio State University (OSU) - Department of Finance Howorka, Edward
EBS Group Limited Iyer, Raj S.K.
EBS Group Limited Liu, David
EBS Wright, Jonathan H.
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
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455
(28,820)
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13
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Foreign exchange, trading volume, news announcements, high-frequency data, conditional mean, conditional volatility
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4.
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Chaboud, Alain
Federal Reserve Board - Division of International Finance LeBaron, Blake
Brandeis University - International Business School
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345
(40,774)
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13
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5.
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Wright, Jonathan H.
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
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286
(50,869)
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20
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uncovered interest parity, high frequency data, exchange rates, risk premia
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6.
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Chernenko, Sergey
Ohio State University (OSU) - Department of Finance Wright, Jonathan H.
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
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252
(58,664)
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2
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Trading volume, foreign exchange, high-frequency data, news announcements
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7.
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Berger, David W.
U.S. Board of Governors of the Federal Reserve System - Division of International Finance Chaboud, Alain
Federal Reserve Board - Division of International Finance Chernenko, Sergey
Ohio State University (OSU) - Department of Finance Howorka, Edward
EBS Group Limited Iyer, Raj S.K.
EBS Group Limited Liu, David
EBS Wright, Jonathan H.
Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
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239
(62,036)
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30
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order flow, foreign exchange, high-frequency data, news announcements
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8.
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Berger, David W.
U.S. Board of Governors of the Federal Reserve System - Division of International Finance Chaboud, Alain
Federal Reserve Board - Division of International Finance Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Howorka, Edward
EBS Group Limited
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207
(72,111)
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8
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Volatility persistence, news sensitivity, exchange rates, long memory
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9.
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Humpage, Owen
Federal Reserve Bank of Cleveland
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05 Feb 05
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Last Revised:
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13 Nov 07
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125
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7
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Foreign intervention, Japan
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10.
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Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets
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Show Abstracts |
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Versions (2)
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Export Bibliographic Info |
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Chiquoine, Ben
Federal Reserve Board - Division of International Finance Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Loretan, Mico
IMF Institute, International Monetary Fund
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Posted:
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06 Nov 07
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Last Revised:
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23 Apr 08
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123
(115,567)
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4
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Chiquoine, Ben
Federal Reserve Board - Division of International Finance Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Loretan, Mico
IMF Institute, International Monetary Fund
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41
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4
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realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Chiquoine, Ben
Federal Reserve Board - Division of International Finance Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Loretan, Mico
IMF Institute, International Monetary Fund
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82
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4
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Realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity
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