Data Client Papers

This is a list of papers using Olsen supplied data. More papers will be added soon ...


PDF Central Bank Intervention and Exchange Rate Volatility, Its Continous and Jump Components
University of Luxembourg, University of Namur, Federal Reserve Bank of St. Louis, Maastricht University
August 2006
PDF On the Multi-Fractal Structure of Traded Colume in Financial Markets
Centro Brasileiro de Pesquisas Fisicas
August 2006
PDF A Nonextensive Approach to the Dynamisc of Financial Observables
Centro Brasileiro de Pesquisas Fisicas, Santa Fe Institute
June 2006
PDF Identifying the Effects of U.S. Intervention on the Levels of Exchange Rates
Federal Reserve Bank of St. Louis
May 2006
PDF On Statistical Properties of Traded Volume in Financial Markets
Centro Brasileiro de Pesquisas Fisicas
May 2006
PDF Estimating and Forecasting Volatility with Large Scale Models: Theoretical Appraisal of Professionals' Practice
Imperial College London
April 2006
PDF The Technical Signal Based Trading Effects on Volatility: Evidence from the Euro/Dollar Currency Market
Catholic University of Louvain
March 2006
PDF Japancese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility
Louisiana State University, Universitüt Tübingen, American University of Beirut
February 2006
PDF General to Sepcific Modelling of Exchange Rate Volatility:�A Forecast Evaluation
Catholic University of Louvain, Universidad Carlos III de Madrid
February 2006
PDF Using Self-Organizing Maps to Adjust Intra-Day Seasonality
Catholic University of Louvain
December 2005
PDF Do Central Bank Interventions Bring Noise on the Market?
University of Namur, Catholic University of Louvain
December 2005
PDF Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB�Statements
De Nederlandsche Bank, University of Groningen
November 2005
PDF Variation, Jumps and High Frequency Data in Financial Econometrics
University of Aarhus, University of Oxford
September 2005
PDF The Performance Analysis of Chart Patterns: Monte Carlo Simulation and Evidence from the Euro/Dollar Foreign Exchange Market
Catholic University of Louvain
July 2005
PDF Analysis of HFF Data: Models, Methods and Software. Part II: Modeling and Forecsating Realized Variance Measures
University of Washington
July 2005
PDF Exchange Rate Volatility and the Mixture of Distribution Hypothesis
Catholic University of Louvain, Norge Bank
April 2005
PDF Time and foreign exchange markets
Università degli Studi, L'Aquila
April 2005
PDF Analysis of High Frequency Financial Data
New York University, University of California - San Diego, University of Chicago
December 2004
PDF Rules Versus Discretion in Foreign Exchange Intervention: Evidence from Offical Bank of Canada High-Frequency Data
University of Alberta, Bank of Canada
October 2004
PDF The Self-Organizing Maps for Seasonality Adjustment (SOM): Application to The Euro/Dollar Foreign Exchange Volatility and Quoting Activity
Catholic University of Louvain
September 2004
PDF How well can Autoregressive Duration Models Capture the Price Durations Dynamics of Foreign Exchanges
Chinese Academy of Sciences, Cornell University, Tsinghua University
September 2004
PDF The Foreign Exchange Quoting Activity as an Informative Signal
Catholic University of Louvain
June 2004
PDF The Predictive Success and Profitability of Chart Patterns in the Euro/Dollar Foreign Exchange Market
Catholic University of Louvain
May 2004
PDF Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
ETH - Zurich, University of Technology - Sydney
May 2004
PDF Econometrics of Testing for Jumps in Financial Economics using Bipower Variation
University of Aarhus, University of Oxford
November 2003
PDF Effectiveness of Official Daily Foreign Exchange market Intervention Operations in Japan
University of Alberta, University of California - Santa Cruz
November 2003
PDF Analysis of High-Frequency Financial Data with S-Plus
University of Washington
November 2003
PDF The Response of Individual FX Dealers'�Quoting Activity to Macroeconomic News Announcements
Catholic University of Louvain
September 2003
PDF When do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements
National Bureau of Economic Research, University of Michigan
July 2003
PDF Pouvoir Predictif et Profitabilite des Figures Chartistes: Application au Marche des Changes Euro/Dollar
Université Catholique de Louvain
June 2003
PDF Central Bank Interventions and Jumps in Double Long Memory Models of Daily Exchange Rates
Université Libre de Bruxelles, Université Catholique de Louvain, Université de Liège, Maastricht University
January 2003
PDF Dependence Structures for Multivariate High Frequency Data in Finance
ETH - Zurich
January 2003
PDF Microstructures in the Indian Foreign Exchange Market
Institute of Economic Growth, University of Delhi Enclave
December 2002
PDF Dynamical model of Financial Markets: Fluctuating 'Temperature' causes Intermittent Behavior of Price Changes
Hitachi High-Technologies Corporation, Tokyo Metropolitan University
October 2002
PDF Y2K Fears and Safe Haven Trading of the US Dollar
University of Alberta, Richard Ivey Scholl of Business, University of Western Ontario
October 2002
PDF Microeconomic Models for Long_memory in the Volatility of Financial Time Series
Groupement de Recherche en Economie, Quantitative d'Aix-Marseille (GREQAM), Catholic University of Louvain, Center for Operations Research and Econometrics (CORE)
October 2002
PDF Measuring and Forecasting Financial Variability using Realised Variance with and without a Model
Center for Mathematical Physics and Stockastics (MaPhySto), University of Aarhus, Nuffiled College, University of Oxford Dept. of Statistics
October 2002
PDF A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates
Financial Markets Group, London School of Economics
September 2002
PDF What can we learn about Monetary Policy Transparency from Financial Market Data
Bank of England
February 2001
PDF Scaling in Financial Prices: II. Multifractals and the Star Equation
Yale University
November 2000
PDF How to Quantify Deterministic and Random Influences on the Statistics of the Foreign Exchange Market
Institute für Theoretische Physik, Universität Oldenberg
November 1999
PDF The Market Microstructure of Central Bank Intervention
National Bureau of Economic Research, University of Michigan
September 1999
PDF Multifractality of Deutschmark / US�Dollar Exchange Rates
Yale University
September 1997