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The Interaction Between The Frequency Of Market Quotes Spread And Volatility In Forex

The Interaction Between The Frequency Of Market Quotes Spread And Volatility In Forex
The Interaction Between The Frequency Of Market Quotes Spread And Volatility In Forex

Frequency Of Market There is an empirical relationship between volatility,average spread, and number of quotations in the foreign exchange spot market. The estimation procedure involves two steps.In the Þrst one the optimal functional form between these variables is determined through a maximization procedure of the unrestricted VAR, involving the BoxÐCox transformation.The second step uses the […]

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The Interaction Between The Frequency Of Market Quotes Spread And Volatility In Forex

Frequency Of Market

There is an empirical relationship between volatility,average spread, and number of quotations in the foreign exchange spot market. The estimation procedure involves two steps.In the Þrst one the optimal functional form between these variables is determined through a maximization procedure of the unrestricted VAR, involving the BoxÐCox transformation.The second step uses the two-stage least squares method toestimate  the transformed variables in a simultaneous equation system framework. The results indicate that the number of quotations successfully approximates activity in the spot market. Furthermore, the number of quotations and temporal dummies reduce signiÞcantly the conditional heteroskedasticity e¤ect. We also discuss information aspects of the model as well as its implications for Þnancial information altheories.Inter-and intra-day patterns of the three variables are also revealed.

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  • عنوان مقاله : ...The Interaction Between The Frequency Of
  • نوع فایل : PDF
  • حجم فایل : 300 کیلوبایت

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