Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis

Journal of Banking and Finance

Volumn 14, Issue 6, 1990, Pages 1189-1208

  Müller, Ulrich A ^a   Dacorogna, Michel M ^a   Olsen, Richard B ^a   Pictet, Olivier V ^a   Schwarz, Matthias ^a   Morgenegg, Claude ^a  

^a Olsen Ltd   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 26544444702     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/0378-4266(90)90009-Q     Document Type: Article

References (25)

1. The statistical distribution of exchange rates, empirical evidence and economic implications
2. The behavior of the foreign exchange rates
3. A subordinated stochastic process model with finite variance for speculative prices
4. Empirical modeling of exchange rate dynamics
5. The dynamics of exchange rate volatility A multivanate latent factor ARCH model
6. Some properties of symmetric stable distributions
7. Minute by minute Efficiency normality and randomness in intra-daily asset prices
8. Short-run fluctuations in foreign exchange rates, evidence from the data 1973–1979
9. Exchange rate risk and transactions costs: Evidence from bid-ask spreads
10. Components of the bid-ask spread and the statistical properties of transaction prices
11. Transaction data tests of the mixture of distributions hypothesis
12. News from the U.S. and Japan: Which moves the yen/dollar exchange rate?
13. The variations of certain speculative prices
14. On the distribution stock price differences
15. The distribution of foreign exchange price changes Trading day effects and risk measurement
16. Empirical properties of foreign exchange rates
17. A study of diffusion processes for foreign exchange rates
18. The behavior of intra-daily exchange rates
19. An examination of foreign exchange risk under fixed and floating rate regimes
20. The distribution of common stock price changes An application of transactions time and subordinated stochastic models