Intradaily Exchange Rate Movements:
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 d...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer US
2000
|
| Ausgabe: | 1st ed. 2000 |
| Schlagworte: | |
| Online-Zugang: | BTU01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (XV, 162 p) |
| ISBN: | 9781461546214 |
| DOI: | 10.1007/978-1-4615-4621-4 |
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| 520 | |a 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 | ||
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| spelling | Guillaume, Dominique M. Verfasser aut Intradaily Exchange Rate Movements by Dominique M. Guillaume 1st ed. 2000 New York, NY Springer US 2000 1 Online-Ressource (XV, 162 p) txt rdacontent c rdamedia cr rdacarrier 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 International Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Macroeconomics/Monetary Economics//Financial Economics International economics Statistics Macroeconomics Wechselkurs (DE-588)4064921-0 gnd rswk-swf Prognose (DE-588)4047390-9 gnd rswk-swf Wechselkurs (DE-588)4064921-0 s Prognose (DE-588)4047390-9 s DE-604 Erscheint auch als Druck-Ausgabe 9781461370895 Erscheint auch als Druck-Ausgabe 9780792386964 Erscheint auch als Druck-Ausgabe 9781461546221 https://doi.org/10.1007/978-1-4615-4621-4 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Guillaume, Dominique M. Intradaily Exchange Rate Movements International Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Macroeconomics/Monetary Economics//Financial Economics International economics Statistics Macroeconomics Wechselkurs (DE-588)4064921-0 gnd Prognose (DE-588)4047390-9 gnd |
| subject_GND | (DE-588)4064921-0 (DE-588)4047390-9 |
| title | Intradaily Exchange Rate Movements |
| title_auth | Intradaily Exchange Rate Movements |
| title_exact_search | Intradaily Exchange Rate Movements |
| title_exact_search_txtP | Intradaily Exchange Rate Movements |
| title_full | Intradaily Exchange Rate Movements by Dominique M. Guillaume |
| title_fullStr | Intradaily Exchange Rate Movements by Dominique M. Guillaume |
| title_full_unstemmed | Intradaily Exchange Rate Movements by Dominique M. Guillaume |
| title_short | Intradaily Exchange Rate Movements |
| title_sort | intradaily exchange rate movements |
| topic | International Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Macroeconomics/Monetary Economics//Financial Economics International economics Statistics Macroeconomics Wechselkurs (DE-588)4064921-0 gnd Prognose (DE-588)4047390-9 gnd |
| topic_facet | International Economics Econometrics Statistics for Business, Management, Economics, Finance, Insurance Macroeconomics/Monetary Economics//Financial Economics International economics Statistics Macroeconomics Wechselkurs Prognose |
| url | https://doi.org/10.1007/978-1-4615-4621-4 |
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