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The behavior of intra-daily exchange rates · Study

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ArticleThe behavior of intra-daily exchange rates

Walter Wasserfallen1985

Article1985

The behavior of intra-daily exchange rates

Walter Wasserfallen · Heinz Zimmermann

102 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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References

1983Empirical exchange rate models of the seventies 1976Information and Competitive Price Systems 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices 1979Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market 1981Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s 1982Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s 1982The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?1982On Unit Roots and the Empirical Modeling of Exchange Rates

Cited by

2010Volatility forecasting and microstructure noise 2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics 2004An Unbiased Measure of Realized Variance 2014Long Memory and Periodicity in Intraday Volatility 2018Macroeconomic news announcements, systemic risk, financial market volatility, and jumps

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1985Chapter 19 Empirical studies of exchange rates: Price behavior, rate determination and market efficiencychapter · 11 shared references 1985Chapter 14 Asset markets, exchange rates and the balance of paymentschapter · 9 shared references 1987Monetary/asset models of exchange rate determinationarticle · 9 shared references 1986An empirical investigation into the causes of failure of the monetary model of the exchange ratearticle · 8 shared references 1984Some alternative tests of forward exchange rates as predictors of future spot ratesarticle · 7 shared references 1983The asset market model of the balance of payments and the exchange rate: A survey of empirical evidencearticle · 7 shared references

Details

Year1985

Typearticle

Published1985-03-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations102

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0378-4266(85)90062-7

openalex_workW2046563916

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