Synopsis
Excerpt from High Frequency Data and Volatility, in Foreign Exchange Rates
Since the consecutive prices are nonstationary, it is appropriate to study changes in prices. Like many other researchers, I prefer to study the compound return (which is defined as the difference in the logarithmic value of the bid prices). Table 2 shows the summary statistics of the tick-by-tick returns.
About the Publisher
Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at
This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
Autres éditions populaires du même titre
Résultats de recherche pour High Frequency Data and Volatility, in Foreign Exchange...
Image fournie par le vendeur
High Frequency Data and Volatility, in Foreign Exchange Rates (Classic Reprint)
impression à la demandeVendeur : Forgotten Books, London, Royaume-Uni
Évaluation du vendeur 4 sur 5 étoiles
Paperback. Etat : New. Print on Demand. This book explores the behavior of foreign exchange rates, an area of finance that has seen considerable study but limited success in structural modeling. The author uses high-frequency data, such as tick-by-tick exchange rates, to analyze the volatility of these rates. Tick-by-tick data reveals a high negative first-order autocorrelation in returns, which the author attributes to noise in the data. The author provides a model to explain this autocorrelation and proposes volatility estimators using the high-frequency data. The book concludes with an examination of daily and hourly volatility estimates for the DM/$ exchange rates, highlighting the insights gained from using high-frequency data. The book contributes to the understanding of volatility in financial time series, which is key in studying conditional heteroscedasticity models and is significant for researchers, practitioners, and students in finance. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. N° de réf. du vendeur 9781330265826_0
Acheter neuf
EUR 15,19
Livraison gratuite
Expédition depuis Royaume-Uni vers Etats-Unis
Expédition depuis Royaume-Uni vers Etats-Unis
Quantité disponible : Plus de 20 disponibles
Image d'archives
High Frequency Data and Volatility, in Foreign Exchange Rates Classic Reprint
Vendeur : PBShop.store US, Wood Dale, IL, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
PAP. Etat : New. New Book. Shipped from UK. Established seller since 2000. N° de réf. du vendeur LW-9781330265826
Acheter neuf
EUR 21,58
Livraison gratuite
Expédition nationale : Etats-Unis
Expédition nationale : Etats-Unis
Quantité disponible : 15 disponible(s)
Image d'archives
High Frequency Data and Volatility, in Foreign Exchange Rates Classic Reprint
Vendeur : PBShop.store UK, Fairford, GLOS, Royaume-Uni
Évaluation du vendeur 4 sur 5 étoiles
PAP. Etat : New. New Book. Shipped from UK. Established seller since 2000. N° de réf. du vendeur LW-9781330265826
Acheter neuf
EUR 21,28
Expédition à EUR 3,80
Expédition depuis Royaume-Uni vers Etats-Unis
Expédition depuis Royaume-Uni vers Etats-Unis
Quantité disponible : 15 disponible(s)