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Short-Run Fluctuations in Foreign Exchange Rates: An Exploration of the Data

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  • Daniel Friedman

    (UCLA)

  • Stoddard Vandersteel

    (Data Resources)

Abstract

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Suggested Citation

  • Daniel Friedman & Stoddard Vandersteel, 1980. "Short-Run Fluctuations in Foreign Exchange Rates: An Exploration of the Data," UCLA Economics Working Papers 171, UCLA Department of Economics.
    • Handle: RePEc:cla:uclawp:171
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    File URL: http://www.econ.ucla.edu/workingpapers/wp171.pdf
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    References listed on IDEAS

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    1. Benoit Mandelbrot & Howard M. Taylor, 1967. "On the Distribution of Stock Price Differences," Operations Research, INFORMS, vol. 15(6), pages 1057-1062, December.
    2. Hinich, Melvin J. & Roll, Richard, 1975. "Abstract–Measuring Nonstationarity in the Stochastic Process of Asset Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(4), pages 687-687, November.
    3. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-155, January.
    4. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Daniel Friedman, 1981. "Speculation, Arbitrage, and the Term Structure of Foreign Exchange Rates," UCLA Economics Working Papers 207, UCLA Department of Economics.
    2. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers 34, Center for Policy Research, Maxwell School, Syracuse University.

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