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

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dc.contributor.author Batten, Jonathan en_US
dc.contributor.author Ellis, Craig en_US
dc.contributor.author Hogan, Warren en_US
dc.date.accessioned 2009-12-21T02:28:07Z
dc.date.available 2009-12-21T02:28:07Z
dc.date.issued 2005 en_US
dc.identifier 2005000875 en_US
dc.identifier.citation Batten Jonathan, Ellis Craig, and Hogan Warren 2005, 'Decomposing intraday dependence in currency markets: evidence from the AUD/USD spot market', Elsevier Science Bv, vol. 352, no. 2-4, pp. 558-572. en_US
dc.identifier.issn 0378-4371 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/3457
dc.description.abstract 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 Hurs en_US
dc.publisher Elsevier Science Bv en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.physa.2005.01.012 en_US
dc.title Decomposing intraday dependence in currency markets: evidence from the AUD/USD spot market en_US
dc.parent Physica A: Statistical Mechanics and its Applications en_US
dc.journal.volume 352 en_US
dc.journal.number 2-4 en_US
dc.publocation Amsterdam, Netherlands en_US
dc.identifier.startpage 558 en_US
dc.identifier.endpage 572 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010500 en_US
dc.personcode 0000017798 en_US
dc.personcode 944972 en_US
dc.personcode 998277 en_US
dc.percentage 100 en_US
dc.classification.name Mathematical Physics en_US
dc.classification.type FOR-08 en_US
dc.custom 1.369 en_US
dc.description.keywords scaling volatility; long-range dependence; foreign exchange; market microstructure en_US
dc.staffid 998277 en_US


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