Intradaily Exchange Rate Movements
- List Price: $109.99
- Binding: Hardcover
- Publisher: Kluwer Academic Pub
- Publish date: 12/01/1999
Description:
1 A Typology of Foreign Exchange Rates Models.- 1.1 Models with fixed point.- 1.2 Models with multiple equilibria.- 1.3 Models with chaotic attractors.- 1.4 Models with multiple attractors.- 1.5 Models with no attractor.- 1.6 Models with no attractor but some structure.- 2 From the Bird's Eye to the Microscope: A Survey of New Stylised Facts.- 2.1 Introduction.- 2.2 Description of the Foreign Exchange Market.- 2.3 Definition of the Variables of Interest.- 2.4 Stylised facts.- 2.5 Conclusion.- 2.6 Appendix.- 3 Chaos in the Foreign Exchange Markets.- 3.1 Methodology.- 3.2 Results.- 3.3 Conclusion.- 4 Sources of Nonlinearities in the Foreign Exchange Markets.- 4.1 Introduction.- 4.2 Methodology.- 4.3 Results.- 4.4 Conclusion.- 5 On the Intradaily Performance of GARCH Processes.- 5.1 Introduction.- 5.2 Description of the data.- 5.3 Alternative time scales.- 5.4 Results.- 5.5 Conclusion.- 5.6 Appendix.- 6 Do Technical Trading Rules Generate Profits?.- 6.1 Introduction.- 6.2 Data and methodology.- 6.3 Results.- 6.4 Conclusion.
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