MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS

DOI10.1017/S136510050202014XzbMATH Open1058.91062MaRDI QIDQ4434342FDOQ4434342

Authors: Òscar Jordà, Massimiliano Marcellino 

Publication date: 2003

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

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zbMATH Keywords

Dependent Point Process.Irregularly Spaced High-Frequency DataTime Aggregation

Mathematics Subject Classification ID

Economic growth models (91B62)

Cited In (4)

• Modeling foreign exchange rates using copula-based autoregressive conditional duration models
• A new hybrid model for intraday spot foreign exchange trading accounting for heavy tails and volatility clustering
• Econometric analysis of high frequency data
• Time‐scale transformations of discrete time processes

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