Bid-ask spread dynamics in foreign exchange markets

Keyphrases

• Foreign Exchange Market 100%
• Spreading Dynamics 100%
• Bid-ask Spread 100%
• Currency Spreads 100%
• Spread Volatility 100%
• Sum of Squares 50%
• Foreign Exchange Rate 50%
• Vector Autoregressive Model 50%
• Short-term Dynamics 50%
• Volatility Changes 50%
• Cumulative Sum 50%
• Adverse Selection Costs 50%
• Future Spread 50%
• Carrying Costs 50%
• Volatility Shifts 50%
• Order Processing Cost 50%
• Changes in Inventories 50%

Economics, Econometrics and Finance

• Foreign Exchange Market 100%
• Volatility 100%
• Bid-Ask Spread 100%
• Exchange Rate 50%
• Spillover Effect 50%
• Order Processing 50%