Evans, Martin D. D. (contributor); … - 2004
.
t
p∆ denotes the difference between the log spot rate
($/€) at the end of days t and t-1, and
j
t
x∆ denotes the …-variable, k
th
-order VAR:
12
11 1 11
12
66 6 66
12
tt t tkt
tt t tkt
k
tt t tkt
p pp pe
x xx xu
AA A
x xx xu …, and
j
t
x∆ denotes the order flow for euros from segment j during day t. Daily innovations to the spot
rate and the 6 …