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OverviewIn the late 1980s, as the empirical appeal of macro-economic exchange rate models began to fade, a few people including Professor Charles Goodhart at the London School of Economics and researchers at Olsen & Associates in Zurich, started to collect intra-daily exchange rate data. The resulting database provides new insight into the foreign exchange markets and thereby opens up previously unexplored avenues of research. Intra-Daily Exchange Rate Movements presents an extensive study of the Olsen & Associates database and is one of the first monographs in this exciting new area. This book aims to provide a systematic study of the characteristics of intra-daily exchange rate data as well as an empirical investigation into different approaches of modelling the exchange rate movements. First, the author describes empirical insights, which range from the distributional issues of exchange rate data to the impact of macroeconomic fundamentals and institutional characteristics. This leads to a survey of the main stylized facts. Using the O&A database, Guillaume then presents a systematic investigation of the empirical performance of three broad categories of models: macro-economic models using an extension of chaos theory, stochastic models including the GARCH and time-deformation models, and technical analysis. The book shows how these approaches can be used to model intra-daily exchange rate movements and highlights some of the pitfalls inherent in such an exercise. In an area where literature remains controversial, this book hopes to trigger further inquiries into the suitability of these different approaches to modelling. Full Product DetailsAuthor: Dominique M. GuillaumePublisher: Springer-Verlag New York Inc. Imprint: Springer-Verlag New York Inc. Edition: Softcover reprint of the original 1st ed. 2000 Dimensions: Width: 15.50cm , Height: 0.90cm , Length: 23.50cm Weight: 0.290kg ISBN: 9781461370895ISBN 10: 1461370892 Pages: 162 Publication Date: 03 October 2012 Audience: Professional and scholarly , Professional & Vocational Format: Paperback Publisher's Status: Active Availability: Manufactured on demand  We will order this item for you from a manufactured on demand supplier. Table of ContentsReviewsAuthor InformationDominique Guillaume (1966) is currently at the International Monetary Fund. He holds a Ph.D. in Economics from the University of Louvain and is a former researcher at the Financial Markets Group at the London School of Economics and the Institute of Economics and Stastistics at Oxford University. Tab Content 6Author Website:Countries AvailableAll regions |
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