Overview
Access this book
Tax calculation will be finalised at checkout
Other ways to access
Table of contents (6 chapters)
Keywords
About this book
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.
Authors and Affiliations
About the author
Bibliographic Information
Book Title: Intradaily Exchange Rate Movements
Authors: Dominique M. Guillaume
DOI: https://doi.org/10.1007/978-1-4615-4621-4
Publisher: Springer New York, NY
-
eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media Dordrecht 2000
Hardcover ISBN: 978-0-7923-8696-4Published: 31 December 1999
Softcover ISBN: 978-1-4613-7089-5Published: 03 October 2012
eBook ISBN: 978-1-4615-4621-4Published: 06 December 2012
Edition Number: 1
Number of Pages: XV, 162
Topics: International Economics, Econometrics, Statistics for Business, Management, Economics, Finance, Insurance, Macroeconomics/Monetary Economics//Financial Economics