Intradaily Exchange Rate Movements

  • Dominique M. Guillaume

Table of contents

  1. Front Matter
    Pages i-xv
  2. Dominique M. Guillaume
    Pages 1-14
  3. Dominique M. Guillaume
    Pages 59-79
  4. Dominique M. Guillaume
    Pages 95-115
  5. Dominique M. Guillaume
    Pages 117-140
  6. Back Matter
    Pages 141-162

About this book


In 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.


GARCH Stochastic models calculus macroeconomics modeling

Authors and affiliations

  • Dominique M. Guillaume
    • 1
    • 2
  1. 1.Catholic University of LouvainBelgium
  2. 2.Oxford UniversityUK

Bibliographic information

  • DOI
  • Copyright Information Kluwer Academic Publishers, Boston 2000
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4613-7089-5
  • Online ISBN 978-1-4615-4621-4
  • Buy this book on publisher's site