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Does statistical dependence matter? Evidence from the USD/AUD

Ellis, Craig - In: Asia Pacific financial markets in comparative …, (pp. 53-72). 2005

Persistent link: https://www.econbiz.de/10003282285

Decomposing Intraday Dependence in Currency Markets: Evidence from the AUD/USD Spot Market

Batten, Jonathan A.; Ellis, Craig A.; Hogan, Warren P. - arXiv.org - 2004

The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in the local Hurst exponent may be due to either a...

Persistent link: https://www.econbiz.de/10005083514

Paramater estimation bias and volatility scaling in Black-Scholes option prices

Batten, Jonathan A.; Ellis, Craig A. - In: International Review of Financial Analysis 14 (2005) 2, pp. 165-176

Persistent link: https://www.econbiz.de/10005229164

Decomposing intraday dependence in currency markets: evidence from the AUD/USD spot market

Batten, Jonathan A.; Ellis, Craig A.; Hogan, Warren P. - In: Physica A: Statistical Mechanics and its Applications 352 (2005) 2, pp. 558-572

Persistent link: https://www.econbiz.de/10010591745

Are long-term return anomalies illusions? : Evidence from the spot yen

Batten, Jonathan A.; Ellis, Craig; Fetherston, Thomas Austin - In: Japan and the world economy : international journal of … 12 (2000) 4, pp. 337-349

Persistent link: https://www.econbiz.de/10001534683

Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique

Ellis, Craig - In: International review of financial analysis 8 (1999) 1, pp. 53-65

Persistent link: https://www.econbiz.de/10001446438

The price of risk

Ellis, Craig - 1999

Persistent link: https://www.econbiz.de/10001432747

The time-series properties of credit spreads : evidence from Australian dollar eurobonds

Batten, Jonathan A.; Ellis, Craig; Hogan, Warren Pat - In: Advances in Pacific Basin financial markets 6 (2000), pp. 269-301

Persistent link: https://www.econbiz.de/10001487799

Scaling laws in variance as a measure of long-term dependence

Batten, Jonathan A.; Ellis, Craig; Mellor, Robert - In: International review of financial analysis 8 (1999) 2, pp. 123-138

Persistent link: https://www.econbiz.de/10001495506

Intervention and long term bias : evidence from the spot US dollar, Japanese yen fractal structure

Batten, Jonathan A. - 1995

Persistent link: https://www.econbiz.de/10000921286