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High Frequency Exchange Rate Modelling

  • Ronald MacDonald
  • Ian Marsh
Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 37)

Abstract

In some markets, including foreign exchange, virtually continuous data can be observed, collected and analysed. Second-by-second or tick-by-tick data are easy to acquire, although the number of time series covered are usually limited to market prices. These are either ‘indicative’ quotes, such as from the Reuters FXFX page, where the quoting bank is not committed to trade at the posted rates, or actual trade data, such as from the Reuters electronic broking system D2000-2.1 The time span of these databases are also limited to between several hours’ and one years’ worth of data (Goodhart and O’Hara, 1997)

Keywords

Exchange Rate Regime Switching Foreign Exchange Market Exchange Rate Change Swiss Franc 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media Dordrecht 1999

Authors and Affiliations

  • Ronald MacDonald
    • 1
  • Ian Marsh
    • 2
  1. 1.University of StrathclydeUK
  2. 2.City University Business SchoolUK

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