Decomposing intraday dependence in currency markets: Evidence from the AUD/USD spot market

Physica A: Statistical Mechanics and its Applications

Volumn 352, Issue 2-4, 2005, Pages 558-572

  Batten, Jonathan A ^a,b   Ellis, Craig A ^c   Hogan, Warren P ^d  

^a MACQUARIE UNIVERSITY   (Australia)

^b Seoul National University   (South Korea)

^c UNIVERSITY OF WESTERN SYDNEY   (Australia)

^d UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Foreign exchange; Long range dependence; Market microstructure; Scaling volatility

Indexed keywords

COSTS; FINANCE; INTERNATIONAL TRADE; MARKETING; MATHEMATICAL MODELS; PARAMETER ESTIMATION; SOCIAL ASPECTS;

FOREIGN EXCHANGE; LONG-RANGE DEPENDENCE; MARKET MICROSTRUCTURE; SCALING VOLTALITY;

INDUSTRIAL ECONOMICS;

EID: 18144401325     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.01.012     Document Type: Article

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