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Intradaily Exchange Rate Movements (Cód: 6327109)

Dominique M. Guillaume; David J. Kupfer

SPRINGER VERLAG POD

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Descrição

In the late 1980s, as the empirical appeal of macro-economic exchange rate models began to fade, a few people including Professor Charles Goodhart at the London School of Economics and researchers at Olsen &
Associates in Zurich, started to collect intra-daily exchange rate data. The resulting database provides new insight into the foreign exchange markets and thereby opens up previously unexplored avenues of research.
Intra-Daily Exchange Rate Movements presents an extensive study of the Olsen & Associates database and is one of the first monographs in this exciting new area. This book aims to provide a systematic study of the
characteristics of intra-daily exchange rate data as well as an empirical investigation into different approaches of modelling the exchange rate movements. First, the author describes empirical insights, which range from
the distributional issues of exchange rate data to the impact of macroeconomic fundamentals and institutional characteristics. This leads to a survey of the main stylized facts. Using the O&A database, Guillaume then
presents a systematic investigation of the empirical performance of three broad categories of models: macro-economic models using an extension of chaos theory, stochastic models including the GARCH and time-deformation
models, and technical analysis. The book shows how these approaches can be used to model intra-daily exchange rate movements and highlights some of the pitfalls inherent in such an exercise. In an area where literature
remains controversial, this book hopes to trigger further inquiries into the suitability of these different approaches to modelling.

Características

Produto sob encomenda Sim
Marca SPRINGER VERLAG POD
Cód. Barras 9780792386964
Altura 23.40 cm
I.S.B.N. 9780792386964
Profundidade 1.27 cm
Referência 9780792386964
Ano da edição 1999
Idioma Inglês
Número de Páginas 184
Peso 0.44 Kg
Largura 15.60 cm
AutorDominique M. Guillaume; David J. Kupfer

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