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