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99-032/2 - Price Discovery on Foreign Exchange Markets with Differentially Informed Traders

  • Authors
    Frank de Jong, University of Amsterdam and CEPR; Ronald Mahieu, Erasmus University Rotterdam; Peter Schotman, Limburg Institute of Financial Economics, Maastricht University, and CEPR; Irma van Leeuwen, Limburg Institute of Financial Economics, Maastricht University
  • Publication date
    May 7, 1999
  • Keywords
    exchange rates; moment estimators; high frequency data; microstructure
  • JEL
    F31; C32
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