EVERY MINUTE COUNTS IN FINANCIAL-MARKETS

被引：82

作者：

GOODHART, CAE ^{[1
]}

FIGLIUOLI, L ^{[1
]}

机构：

[1] INT MONETARY FUND,RES DEPT,WASHINGTON,DC 20431

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1991年 / 10卷 / 01期

关键词：

D O I：

10.1016/0261-5606(91)90025-F

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper represents an introductory study of ultra high frequency, minuute-by-minute data, for forex spot rates (bid-ask Reuters quotes) on three days, Autumn 1987. The frequency of price revision, size of spread, and statistical characteristics are measured. The series exhibit (time varying) leptokurtosis, unit roots, and first-order negative correlation, the latter especially in disturbed 'jumpy' markets. The effect of time aggregation on these characteristics is examined, and variance ratios are analyzed. Multivariate analysis revealed significant relationships between lagged exchange rates, both the own rate and the key deutsche mark/US dollar rate, and the current spot rate. © 1991.

引用

页码：23 / 52

页数：30

共 39 条

[11] FURTHER EVIDENCE ON EXPECTATIONS AND THE DEMAND FOR MONEY DURING THE GERMAN HYPER-INFLATION [J].