Microestrutura Empírica e Mercado - Uma Análise para a Taxa de Câmbio Brl/Us$ Usando Dados de Alta Freqüência

This file is part of IDEAS, which uses RePEc data

Microestrutura Empírica e Mercado - Uma Análise para a Taxa de Câmbio Brl/Us$ Usando Dados de Alta Freqüência

Author Info

Laurini, Márcio P.
Furlani, Luiz Gustavo C.
Portugal, Marcelo S.

Additional information is available for the following registered author(s):

Márcio Laurini

Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by Ibmec Working Paper, Ibmec São Paulo in its series Ibmec Working Papers with number wpe_89.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Oct 2007
Date of revision:
Handle: RePEc:ibm:ibmecp:wpe_89

Contact details of provider:
Postal: Rua Quat� 300, S�o Paulo, SP 04546-042
Fax: +55+11+287-9076
Web page: http://www.insper.org.br/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Naercio Menezes).

Related research
Keywords:

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-05-26 (All new papers)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Christie, William G & Harris, Jeffrey H & Schultz, Paul H, 1994. " Why Did NASDAQ Market Makers Stop Avoiding Odd-Eighth Quotes?," Journal of Finance, American Finance Association, vol. 49(5), pages 1841-60, December. [Downloadable!] (restricted)
Agmon, Tamir & Barnea, Amir, 1977. "Transaction costs and marketability services in the Eurocurrency money market," Journal of Monetary Economics, Elsevier, vol. 3(3), pages 359-366, July. [Downloadable!] (restricted)
Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September. [Downloadable!] (restricted)
Amaro de Matos, Joao & Fernandes, Marcelo, 2007. "Testing the Markov property with high frequency data," Journal of Econometrics, Elsevier, vol. 141(1), pages 44-64, November. [Downloadable!] (restricted)
Bingcheng Yan & Eric Zivot, 2003. "Analysis of High-Frequency Financial Data with S-PLUS," Working Papers UWEC-2005-03, University of Washington, Department of Economics. [Downloadable!]
Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January. [Downloadable!] (restricted)
Frankel, Jeffrey A. & Rose, Andrew K., 1995. "Empirical research on nominal exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 33, pages 1689-1729 Elsevier. [Downloadable!] (restricted)
Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March. [Downloadable!] (restricted)
Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October. [Downloadable!] (restricted)
Other versions:
- Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society. [Downloadable!]
- Robert Engle & Simone Manganelli, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series 1999-20, Department of Economics, UC San Diego. [Downloadable!]
- Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series 99-20, Department of Economics, UC San Diego. [Downloadable!]
Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," Economics Working Papers (Ensaios Economicos da EPGE) 502, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
Other versions:
- Fernandes, M. & Grammig, J., 2000. "Non-Parametric Specification Tests for Conditional Duration Models," Economics Working Papers eco2000/4, European University Institute.
- Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics. [Downloadable!]
- Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July. [Downloadable!] (restricted)

Full references

Statistics
Access and download statistics

Did you know? The yearly budget of IDEAS is exactly $0: it relies entirely on volunteer work.

This page was last updated on 2009-12-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.