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