Papers based on Olsen Data

Oct06	Jan-Magnus Moberg Genaro Sucarrat	Norwegian School of Economics and Business Administration Universidad Carlos III de Madrid	Financial Market Linkages and Orderflow
Oct06	Christophe Pérignon	Simon Fraser University	Testing the Monotonicity Property of Option Prices
Sep06	Charles Chang Hazem Daouk Albert Wang	Cornell University	Does the oil market learn about analyst accuracy?
Sep06	Alexandra Dias Paul Embrechts	University of Warwick ETH, Zürich	Testing for Structural Changes in Exchange Rates Dependence beyond Linear Correlation
Sep06	Genaro Sucarrat	Université Catholique de Louvain Universidad Carlos III de Madrid	Essays in the Study and Modelling of Exchange Rate Volatility
Aug06	Michel Beine Jérôme Lahaye Sébastien Laurent Christopher J Neely Franz C Palm	University of Luxembourg University of Namur Federal Reserve Bank of St. Louis Maastricht University	Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components
Aug06	Luis G Moyano Jeferson de Souza Sílvio M Duarte Queirós	Centro Brasileiro de Pesquisas Físicas	On the Multi-Fractal Structure of Traded Volume in Financial Markets
Jun06	Sílvio M Duarte Queirós Luis G Moyano Jeferson de Souza Constantino Tsallis	Centro Brasileiro de Pesquisas Físicas Santa Fe Institute	A Nonextensive approach to the Dynamics of Financial Observables
Jun06	Kari Harju Syed Mujahid Hussain	Hanken-Swedish School of Economics and Business Administration	Intraday Linkages across International Equity Markets
Jun06	Alexander Mende Lukas Menkhoff	University of Hannover	Profits and Speculation in Intra-Day Foreign Exchange Trading
May06	Christopher J Neely	Federal Reserve Bank of St. Louis	Identifying the Effects of U.S. Intervention on the Levels of Exchange Rates
May06	Jeferson de Souza Luis G Moyano Sílvio M Duarte Queirós	Centro Brasileiro de Pesquisas Físicas	On Statistical Properties of Traded Volume in Financial Markets
Apr06	Paolo Zaffaroni	Imperial College London	Estimating and Forecasting Volatility with Large Scale Models: Theoretical Appraisal of Professionals' Practice
Mar06	Walid Ben Omrane	Université Catholique de Louvain	The Technical Signal Based Trading Effects on Volatility: Evidence from the Euro/Dollar Currency Market
Feb06	Eric Hillebrand Gunther Schnabl Yasemin Ulu	Louisiana State University Universität Tübingen American University of Beirut	Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations approach Using Realized Volatility
Feb06	Luc Bauwens Genaro Sucarrat	Université Catholique de Louvain Universidad Carlos III de Madrid	General to Specific Modelling of Exchange Rate Volatility: A Forecast Evaluation
Jan06	Dagfinn Rime Genaro Sucarrat	Norges Bank Université Catholique de Louvain	Exchange Rate Volatility and Heterogeneity
Dec05	Walid Ben Omrane Eric de Bodt	Université Catholique de Louvain	Using Self-Organizing Maps to Adjust Intra-Day Seasonality
Dec05	Jean-Yves Gnabo Christelle Lecourt Sébastien Laurent	University of Namur Université Catholique de Louvain	Do Central Banks Interventions Bring Noise on the Market?
Nov05	David-Jan Jansen Jakob de Hann	De Nederlandsche Bank University of Groningen	Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements
Sep05	Ole E Barndorff-Nielsen Neil Shephard	University of Aarhus University of Oxford	Variation, Jumps and High Hrequency Data in Financial Econometrics
Jul05	Walid Ben Omrane Hervé Van Oppens	Université Catholique de Louvain	The Performance Analysis of Chart Patterns: Monte Carlo Simulation and Evidence from the Euro/Dollar Foreign Exchange Market
Jul05	Eric Zivot	University of Washington	Modeling and Forecasting Realized Variance Measures
Jul05	Rasmus Fatum Michael R King	University of Alberta Bank of Canada	The Effectiveness of Official Foreign Exchange Intervention in a Small Open Economy: The Case of the Canadian Dollar
Jun05	Celine Azizieh Wolfgang Breymann	Université Libre de Bruxelles ETH, Zürich	Estimation of the Stylized Facts of a Stochastic Cascade Model
May05	Richard Heaney Kerry Pattenden	RMIT University University of Sydney	Change in Unconditional Exchange Rate Volatility: GBP and USD Price of the Euro 2002-2003
Apr05	Luc Bauwens Dagfinn Rime Genaro Sucarrat	Université Catholique de Louvain Norges Bank	Exchange Rate Volatility and the Mixture of Distribution Hypothesis
Apr05	Luca Berardi Maurizio Serva	Università degli Studi, L'Aquila	Time and Foreign Exchange Markets
Mar05	Rasmus Fatum	University of Alberta	Daily Effects of Foreign Exchange Intervention: Evidence from Official Bank of Canada Data
Feb05	Alexander Mende	University of Hannover	09/11 on the USD/EUR Foreign Exchange Market
Feb05	Joachim Grammig Michael Melvin Christian Schlag	University of Tübingen Arizona State University Göethe Universität Frankfurt	The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks
Dec04	Robert F Engle Jeffrey R Russell	New York University University of California - San Diego University of Chicago	Analysis of High Frequency Financial Data
Oct04	Rasmus Fatum Michael R King	University of Alberta Bank of Canada	Rules Versus Discretion in Foreign Exchange Intervention: Evidence from Official Bank of Canada High-Frequency Data
Sep04	Walid Ben Omrane Eric de Bodt	Université Catholique de Louvain	The Self-Organizing Maps for Seasonality Adjustment (SOM): Application to The Euro/Dollar Foreign Exchange Volatility and Quoting Activity
Sep04	Christian Bontemps Nour Meddahi	University of Toulouse University of Montreal	Testing Normality: a GMM approach
Sep04	Yanhui Liu Yongmiao Hong Shouyang Wang	Chinese Academy of Sciences Cornell University Tsinghua University	How well can Autoregressive Duration Models Capture the Price Durations Dynamics of Foreign Exchanges
Jun04	Alexandra Dias Paul Embrechts	University of Warwick ETH, Zürich	Dynamic Copula Models for Multivariate High-Frequency Data in Finance
Jun04	Walid Ben Omrane Andréas Heinen	Université Catholique de Louvain	The Foreign Exchange Quoting Activity as an Informative Signal
Jun04	Ramazan Gençay Faruk Celçuk	Simon Fraser University Bilkent University	Volatility-Return Dynamics across different Timescales
May04	Walid Ben Omrane Hervé Van Oppens	Université Catholique de Louvain	The Predictive Success and Profitability of Chart Patterns in the Euro/Dollar Foreign Exchange Market
May04	Wolfgang Breymann Leah Kelly Eckhard Platen	ETH, Zürich University of Technology - Sydney	Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
Nov03	Ole E Barndorff-Nielsen Neil Shephard	Center for Mathematical Physics and Stochastics [MaPhySto] University of Aarhus Nuffield College, University of Oxford	Power and Bipower Variation with Stochastic Volatility and Jumps
Nov03	Ole E Barndorff-Nielsen Neil Shephard	University of Aarhus University of Oxford	Econometrics of Testing for Jumps in Financial Economics using Bipower Variation
Nov03	Rasmus Fatum Michael M Hutchison	University of Alberta University of California - Santa Cruz	Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan
Nov03	Bingcheng Yan Eric Zivot	University of Washington	Analysis of High-Frequency Financial Data with S-Plus
Sep03	Walid Ben Omrane Andréas Heinen	Université Catholique de Louvain	The Response of Individual FX Dealers' Quoting Activity to Macroeconomic News Announcements
Aug03	Johan Tykesson	Chalmers University of Technology Góteborg University	Some aspects of Lévy processes in finance
Aug03	George M. von Furstenberg Carlos B. Tabora	Indiana University Fordham University	Bolsa or NYSE: Price Discovery for Mexican Shares
Jul03	Kathryn M Dominguez	National Bureau of Economic Research University of Michigan	When do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?
Jun03	Sachin Tandon	University of Edinburgh	A Programmable Architecture for Real-time Derivative Trading
Jun03	Walid Ben Omrane Hervé Van Oppens	Université Catholique de Louvain	Pouvair Predictif et Profitabilite des Fugures Chartistes: Application au Marche des Changes Euro/Dollar
Jun03	Peter Lung R Stephen Sears	University of Dayton Texas Tech University	The Information Content of Implied Prices: Test of the Option Boundary approach
May03	Alain P Chaboud Jonathan H Wright	Board of Governors of the Federal Reserve System	Uncovered Interest Parity: It works, but not for long
Jan03	Michel Beine Sébastien Laurent	Université Libre de Bruxelles Catholic University of Louvain Université de Liège Maastricht University	Central Bank Interventions and Jumps in Double Long Memory Models of Daily Exchange Rates
Jan03	Wolfgang Breymann Alexandra Dias Paul Embrechts	ETH, Zürich	Dependence Structures for Multivariate High Frequency Data in Finance
Dec02	N R Bhanumurthy	Institute of Economic Growth University of Delhi Enclave	Microstructures in the Indian Foreign Exchange Market
Oct02	Naoki Kozuki Nobuko Fuchikami	Hitachi High-Technologies Corporation Tokyo Metropolitan University	Dynamical Model of Financial Markets: Fluctuating Temperature causes Intermittent Behavior of Price Changes
Oct02	Aditya Kaul Stephan Sapp	University of Alberta Richard Ivey School of Business University of Western Ontario	Y2K Fears and Safe Haven Trading of the US Dollar
Oct02	Alan Kirman Gilles Teyssiere	Groupement de Recherche en Economie Quantitative d'Aix-Marseille [GREQAM] Catholic University of Louvain Center for Operations Research and Econometrics [CORE]	Microeconomic Models for Long-Memory in the Volatility of Financial Time Series
Oct02	Ole E Barndorff-Nielsen Brent Nielsen Neil Shephard Carla Ysusi	Center for Mathematical Physics and Stochastics [MaPhySto] University of Aarhus Nuffield College, University of Oxford Dept. of Statistics, University of Oxford	Measuring and Forecasting Financial Variability using Realised Variance with and without a Model
Sep02	Richard Payne Paolo Vitale	Financial Markets Group London School of Economics	A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates
Jun02	Ole E Barndorff-Nielsen Neil Shephard	Center for Mathematical Physics and Stochastics [MaPhySto] University of Aarhus Nuffield College, University of Oxford	Financial Volatility, Lévy Processes and Power Variation
Jun01	Ole E Barndorff-Nielsen Neil Shephard	Center for Mathematical Physics and Stochastics [MaPhySto] University of Aarhus Nuffield College, University of Oxford	Econometric Analysis of Realised Volatility and its use in Estimating Stochastic Volatility Models
Feb01	Andrew Clare Roger Courtenay	Bank of England	What can we learn about Monetary Policy Transparency from Financial Market Data?
Nov00	Benoit B Mandelbrot	Yale University	Scaling in Financial Prices: Multifractals and the Star Equation
Nov99	R Friedrich J Peinke Ch Renner	Institute für Theoretische Physik Universität Oldenberg	How To Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market
Sep99	Kathryn M Dominguez	National Bureau of Economic Research University of Michigan	The Market Microstructure of Central Bank Intervention
Jul99	Blake LeBaron	Brandeis University	Volatility Persistence and Apparent Scaling Laws in Finance
Mar99	Frank de Jong Ronald Mahieu Peter Schotman Irma van Leeuwen	University of Amsterdam Erasmus University of Rotterdam Limburg Institute, University of Maastricht Centre for Economic Policy Research	Price Discovery on Freign Exchange Markets with Differentially Informed Traders
Sep97	Adlai Fisher Laurent Calvet Benoit Mandelbrot	Yale university	Multifractality of Deutschemark/ US Dollar Exchange Rates
Aug97	Jens Timmer Andreas Weigand	Universität Freiburg Stern School of Business, New York University	Modeling Volatility Using State Space Models