The 20 references in paper Angelo Ranaldo, Paul Söderlind (2007) “Safe Haven Currencies” / RePEc:usg:dp2007:2007-22

1
Andersen, T. G., T. Bollerslev, F. X. Diebold, and P. Labys, 2003, “Modeling and forecasting realized volatility,”Econometrica, 71, 579–625.
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2
Andersen, T. G., T. Bollerslev, F. X. Diebold, and C. Vega, 2004, “Micro effects of macro announcements: real-time price discovery in foreign exchange,”American Economic Review, 93, 38–62. Bank for International Settlements, 1999, “International banking and financial market developments,” BIS Quarterly Review.
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3
Bollerslev, T., and T. G. Andersen, 1998, “DM-Dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies,”Journal of Finance, 53, 219–265.
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4
Brunnermeier, M. K., and L. H. Pedersen, 2007, “Market liquidity and funding liquidity,”
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5
Working Paper 12939, National Bureau of Economic Research.
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6
Burnside, C., M. Eichenbaum, I. Kleshchelski, and S. Rebelo, 2006, “The Returns to
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7
Currency Speculation,” Working Paper 12489, National Bureau of Economic Research.
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8
Burnside, C., M. Eichenbaum, and S. Rebelo, 2007, “The Returns to Currency Speculation in Emerging Markets,” Working Paper 12916, National Bureau of Economic Research.
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9
Caballero, R. J., and A. Krishnamurthy, 2007, “Collective risk management in a flight to quality episode,” Working Paper 12896, National Bureau of Economic Research.
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10
Campbell, J. Y., K. Serfaty-de Medeiros, and L. M. Viceira, 2007, “Global Currency Hedging,” Working Paper 13088, National Bureau of Economic Research.
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11
Chordia, T., A. Sarkar, and A. Subrahmanyam, 2005, “An empirical analysis of stock and bond market liquidity,”Review of Financial Studies, 18, 85–129.
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12
Christiansen, C., and A. Ranaldo, 2007, “Realized bond-stock correlation: macroeconomic announcement effects,”Journal of Futures Markets, 27, 439–469. 24
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13
Evans, M. D. D., and R. K. Lyons, 2002a, “Informational integration and FX trading,” Journal of International Money and Finance, 21, 807–831.
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14
Evans, M. D. D., and R. K. Lyons, 2002b, “Order flow and exchange rate determinants,” Journal of Political Economy, 110, 170–180.
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15
Goodhart, C., R. Ito, and R. Payne, 1996, “One day in June 1993: a study of the working of the Reuters 2000-2 Electronic Foreign Exchange Trading System,” in J. Frankel, G. Galli,andA. Giovannini (ed.),The Microstructure of Foreign Exchange Markets. pp. 107–179, University of Chicago Press, IL.
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16
Griliches, Z., 1986, “Economic data issues,” in Zvi Griliches,andMichael D. Intriligator (ed.),Handbooks in Econometrics III, North-Holland, Amsterdam.
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17
Hartmann, P., S. Straetmans, and C. De Vries, 2001, “Asset market linkages in crisis periods,” Working Paper 71, European Central Bank.
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18
Kaul, A., and S. Sapp, 2006, “Y2K fears and safe haven trading of the U.S. dollar,” Journal of International Money and Finance, 25, 760–779.
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19
Kugler, P., and B. Weder, 2004, “International Portfolio Holdings and Swiss Franc Asset Returns,”Swiss Journal of Economics and Statistics, 127, 301–325.
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20
Pagan, A., and A. Ullah, 1999,Nonparametric Econometrics, Cambridge University Press. 25
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