Titlebook: Intradaily Exchange Rate Movements; Dominique M. Guillaume Book 2000 Springer Science+Business Media Dordrecht 2000 GARCH.Stochastic model

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hart at the London School of Economics and researchers atOlsen & Associates in Zurich, started to collect intra-daily exchangerate data. The resulting database provides new insight into theforeign exchange markets and thereby opens up previously unexploredavenues of research. .Intra-Daily Exchange R

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A Typology of Foreign Exchange Rates Models,ch as in the last chapter do not fit very well in that typology, nor do models based on the microstructure of the markets (see Lyons, 1999). Nonetheless, the following figure should give a good overview of the different approaches adopted in this book.

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Sources of Nonlinearities in the Foreign Exchange Markets,tes that this time scale could capture the conditional heteroskedasticity exhibited by the time series. With the changing volume of transactions at the intradaily frequencies, the use of such time scales seems even more relevant (Dacorogna et al., 1993b; Ghysels and Jasiak, 1994).

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Chaos in the Foreign Exchange Markets,on of chaos could reveal itself very useful for the construction of theoretical models. Indeed, empirical tests of chaos can yield some information on the structure of theoretical models such as the number of independent variables without depending on the specific functional form of the model. Moreo

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Book 2000he impact ofmacroeconomic fundamentals and institutional characteristics. Thisleads to a survey of the main stylized facts. Using the O&A database,Guillaume then presents a systematic investigation of the empiricalperformance of three broad categories of models: macro-economic modelsusing an extensi

modest

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J. Boonstra,L. H. K. Defize,P. M. P. van Bergen en Henegouwen,S. W. de Laat,A. J. Verkleij of secessionist aspirations. They share a similar characteristic of being richly endowed with natural resources. The resource and conflict characteristics of the regions are summarized in Table 3.1. Political secessionist movements complemented with organized rebel wings were clearly present in Ace