From Hour to Hour in the Foreign Exchange Market
This paper analyzes hourly data for four foreign exchange spot rates, deutsche mark/dollar, British pound/dollar, Yen/dollar, and Swiss franc/dollar, with a series covering January-July 1986 involving 3,409 observations. Besides standard findings of leptokurtosis and unit roots, three of the series exhibit negative first-order autocorrelation that became more pronounced after jumps. The series are pair-wise cointegrated and la gs of the deutsche mark/dollar helped in forecasting the Swiss franc/dollar. There is a marked hourly pattern in foreign exchange volatility, with much of the weekend break effect occurring only after Europe reopens at 09.00 Greenwich mean time on Monday mornings. Copyright 1993 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Volume (Year): 61 (1993)
Issue (Month): 1 (March)
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