Intraday volatility and scaling in high frequency foreign exchange markets
Lars Seemann; Joseph L. McCauley; Gemunu H. Gunaratne
| Year of publication: |
2011
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|---|---|
| Authors: | Seemann, Lars ; McCauley, Joseph L. ; Gunaratne, Gemunu H. |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 20.2011, 3, p. 121-126
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| Subject: | Econophysics | Scaling | Intraday volatility | Nonstationary increments | Nonstationary differences | Volatilität | Volatility | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | Theorie | Theory | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Ökonophysik |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009295805