A New Tool for Detecting Intraday Periodicities with Application to High Frequency Exchange Rates
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More about this item
KeywordsSpectral Analysis; Periodicities; Seasonality; Forecasting Exchange Rates; Trading Rules;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- F31 - International Economics - - International Finance - - - Foreign Exchange
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