Detecting intraday periodicities with application to high frequency exchange rates
نویسندگان
چکیده
منابع مشابه
Detecting intraday periodicities with application to high frequency exchange rates
Many recent papers have documented periodicities in returns, return volatility, bid– ask spreads and trading volume, in both equity and foreign exchange markets. We propose and employ a new test for detecting subtle periodicities in time series data based on a signal coherence function.The technique is applied to a set of seven half-hourly exchange rate series. Overall, we find the signal coher...
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series C (Applied Statistics)
سال: 2006
ISSN: 0035-9254,1467-9876
DOI: 10.1111/j.1467-9876.2006.00534.x