search query: @indexterm FOREIGN EXCHANGE MARKET / total: 170
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| Author: | De Jong, F. Mahieu, R. Schotman, P. |
| Title: | Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate |
| Journal: | Journal of International Money and Finance
1998 : FEB, VOL. 17:1, p. 5-28 |
| Index terms: | PRICES FOREIGN EXCHANGE MARKET EXCHANGE RATES |
| Language: | eng |
| Abstract: | Using Reuters exchange rate data the authors investigate the dynamic relations between the direct quotes of the yen/dmark rate and the rate implied by yen/dollar and dmark/dollar rates. Since these high frequency data are observed at irregular intervals, technical problems arise in calculating auto-correlations and cross-correlations. The authors propose a covariance estimator for irregularly spaced data. The empirical results show lagged adjustment of the direct yen/dmark cross-rate to changes in the dollar implied rate. |
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