Negative autocorrelation around large jumps in intra-day foreign exchange data

被引：3
|
作者：
Ghosh, D
机构：
来源：
ECONOMICS LETTERS | 1997年 / 56卷 / 02期
关键词：
first-order negative autocorrelation; large jumps; intra-day;
D O I：
10.1016/S0165-1765(97)81906-4
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper addresses the issue of first-order negative autocorrelation around large changes in high-frequency foreign exchange rate data. This phenomenon is found to exist at smaller time horizons and disappear at larger horizons. (C) 1997 Elsevier Science S.A.
引用
收藏
页码：235 / 241
页数：7
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