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Time-varying dependence in the intraday AUS/USD spot market

Batten, J., Ellis, C. and Hogan, W. 2002, Time-varying dependence in the intraday AUS/USD spot market, in FMA 2002 : Annual Meeting of the Financial Management Association International : Too Big to Fail Policies and Practices in Government Bailouts, Praeger, Westport, Conn., pp. 1-25.

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Title Time-varying dependence in the intraday AUS/USD spot market
Author(s) Batten, J.
Ellis, C.
Hogan, W.
Conference name Financial Management Association International Meeting (2002 : San Antonio, Texas)
Conference location San Antonio, Texas
Conference dates 16-19 Oct. 2002
Title of proceedings FMA 2002 : Annual Meeting of the Financial Management Association International : Too Big to Fail Policies and Practices in Government Bailouts
Editor(s) Rader, Jack
Publication date 2002
Start page 1
End page 25
Publisher Praeger
Place of publication Westport, Conn.
Keyword(s) scaling volatility
long-term dependence
foreign exchange
market microstructure
Summary Using a high-frequency data set of the spot Australian dollar/US dollar this study examines the distribution of quotes and returns across the 24 hour trading "day". Employing statistical methods for measuring long-tenn dependence in time-series we find evidence of time-varying dependence and volatility that aligns with the opening and closing of markets. This variation is attributed to the effects of liquidity and the price-discovery actions of dealers.
ISBN 1567206212
Language eng
Field of Research 150203 Financial Institutions (incl Banking)
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category E1 Full written paper - refereed
Persistent URL http://hdl.handle.net/10536/DRO/DU:30004807

Document type: Conference Paper
Collection: School of Accounting, Economics and Finance
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