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Minute to Minute: Efficiency, Normality, and Randomness in Intra-daily Asset Prices

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  • Feinstone, Lauren J

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  • Feinstone, Lauren J, 1987. "Minute to Minute: Efficiency, Normality, and Randomness in Intra-daily Asset Prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 2(3), pages 193-214, July.
    • Handle: RePEc:jae:japmet:v:2:y:1987:i:3:p:193-214
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    Cited by:

    1. Wu, Ping-Tsung & Shieh, Shwu-Jane, 2007. "Value-at-Risk analysis for long-term interest rate futures: Fat-tail and long memory in return innovations," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 248-259, March.
    2. Jeyanthi Karuppiah & Cornelis A. Los, 2000. "Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997," School of Economics and Public Policy Working Papers 2000-06, University of Adelaide, School of Economics and Public Policy.
    3. Bekiros, Stelios D., 2015. "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 34-49.
    4. Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
    5. Kuck, Konstantin & Maderitsch, Robert, 2019. "Intra-day dynamics of exchange rates: New evidence from quantile regression," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 247-257.
    6. Cecen, A. Aydin & Erkal, Cahit, 1996. "Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?," International Journal of Forecasting, Elsevier, vol. 12(4), pages 465-473, December.
    7. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    8. Fotopoulos, Stergios B. & Jandhyala, Venkata K. & Chen, Kim-Heng, 2007. "Non-linear properties of conditional returns under scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3041-3056, March.
    9. Ha, Daesung & Chang, S. J., 1998. "The distribution of transaction intervals in common stock trading," International Review of Economics & Finance, Elsevier, vol. 7(1), pages 103-115.
    10. Lin, Shih-Kuei & Peng, Jin-Lung & Chao, Wei-Hsiung & Wu, An-Chi, 2016. "The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 217-235.

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