Jorda And Marcellino- Modeling High-Frequency Fx Data Dynamics
The spot foreign exchange (FX) market is an around-the-clock, around-the-globe, decentralized, multiple-dealer market characterized by…
همه ی نوشته های High-Frequency
Ito And Hashimoto-High-Frequency Contagion Of Currency Crises In Asia
Using daily data for the period of Asian Currency Crises, this paper examines high-frequency contagious…
Mcmillan And Speight-Nonlinear Dynamics In High Frequency Intra-Day Financial Data
Tests against the null of linearity indicate smooth transition autoregressive nonlinearities in the conditional mean…
Thomas And Patnaik-Serial Correlation In High-Frequency Data And The Link With Liquidity
This paper tests for market efficiency at high-frequencies of the Indian equity markets. Wedo this…