Matches in Harvard for { <http://id.lib.harvard.edu/aleph/008295709/catalog> ?p ?o. }
Showing items 1 to 22 of
22
with 100 items per page.
- catalog abstract ""This book aims to provide a systematic study of the characteristics of intradaily exchange rate data as well as an empirical investigation into different approaches of modelling the exchange rate movements. First, the author describes empirical insights, which range from the distributional issues of exchange rate data to the impact of macro-economic fundamentals and institutional charactersitcs. This leads to a survey of the main stylized facts. Using the O & A database, Guillaume then presents a systematic investigation of the empirical performance of three broad categories of models: macro-economic models using an extension of chaos theory, stochastic models including the GARCH and time-deformation models, and technical analysis. The book shows how these approaches can be used to model intradaily exchange rate movements and highlights same of the pitfalls inherent in such an exercise. In an area where literature remains controversial, this book hopes to trigger further inquiries into the suitability of these different approaches to modelling."--Jacket.".
- catalog contributor b11544390.
- catalog created "2000.".
- catalog date "2000".
- catalog date "2000.".
- catalog dateCopyrighted "2000.".
- catalog description ""This book aims to provide a systematic study of the characteristics of intradaily exchange rate data as well as an empirical investigation into different approaches of modelling the exchange rate movements. First, the author describes empirical insights, which range from the distributional issues of exchange rate data to the impact of macro-economic fundamentals and institutional charactersitcs. This leads to a survey of the main stylized facts. Using the O & A database, Guillaume then presents a systematic investigation of the empirical performance of three broad categories of models: macro-economic models using an extension of chaos theory, stochastic models including the GARCH and time-deformation models, and technical analysis.".
- catalog description "1. A Typology of Foreign Exchange Rates Models -- 2. From the Bird's Eye to the Microscope: A Survey of New Stylised Facts -- 3. Chaos in the Foreign Exchange Markets -- 4. Sources of Nonlinearities in the Foreign Exchange Markets -- 5. On the Intradaily Performance of GARCH Processes -- 6. Do Technical Trading Rules Generate Profits?".
- catalog description "Includes bibliographical references and index.".
- catalog description "The book shows how these approaches can be used to model intradaily exchange rate movements and highlights same of the pitfalls inherent in such an exercise. In an area where literature remains controversial, this book hopes to trigger further inquiries into the suitability of these different approaches to modelling."--Jacket.".
- catalog extent "xv, 162 p. :".
- catalog identifier "0792386965 (HB : alk. paper)".
- catalog issued "2000".
- catalog issued "2000.".
- catalog language "eng".
- catalog publisher "Dordrecht ; Boston : Kluwer Academic Publishers,".
- catalog subject "332.4/56 21".
- catalog subject "Foreign exchange rates.".
- catalog subject "HG3821 .G84 1999".
- catalog tableOfContents "1. A Typology of Foreign Exchange Rates Models -- 2. From the Bird's Eye to the Microscope: A Survey of New Stylised Facts -- 3. Chaos in the Foreign Exchange Markets -- 4. Sources of Nonlinearities in the Foreign Exchange Markets -- 5. On the Intradaily Performance of GARCH Processes -- 6. Do Technical Trading Rules Generate Profits?".
- catalog title "Intradaily exchange rate movements / by Dominique M. Guillaume.".
- catalog type "text".