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

conference contribution
posted on 2002-01-01, 00:00 authored by J Batten, C Ellis, W Hogan
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.

History

Title of proceedings

FMA 2002 : Annual Meeting of the Financial Management Association International : Too Big to Fail Policies and Practices in Government Bailouts

Event

Financial Management Association International Meeting (2002 : San Antonio, Texas)

Pagination

1 - 25

Publisher

Praeger

Location

San Antonio, Texas

Place of publication

Westport, Conn.

Start date

2002-10-16

End date

2002-10-19

ISBN-10

1567206212

Language

eng

Publication classification

E1 Full written paper - refereed

Editor/Contributor(s)

J Rader

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