Negative autocorrelation around large jumps in intra-day foreign exchange data
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 56 (1997)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/ecolet
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- Goodhart, C. A. E. & Figliuoli, L., 1991. "Every minute counts in financial markets," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 23-52, March.
- Goodhart, C A E & Giugale, M, 1993. "From Hour to Hour in the Foreign Exchange Market," The Manchester School of Economic & Social Studies, University of Manchester, vol. 61(1), pages 1-34, March.
- Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
- Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
- Bollerslev, Tim & Domowitz, Ian, 1993. " Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 48(4), pages 1421-43, September.
- McKenzie, Michael D. & Faff, Robert W., 2005. "Modeling conditional return autocorrelation," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 23-42.
- Han, Young Wook, 2007. "High frequency perspective on jump process, long memory property and temporal aggregation: Case of $-AUD exchange rates," Japan and the World Economy, Elsevier, vol. 19(2), pages 248-262, March.
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