haku: @author Topol, R. / yhteensä: 3
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| Tekijä: | Chauveau, T. Topol, R. |
| Otsikko: | A unifying microstructure framework for modeling intraday and interday asset pricing dynamics: the case of exchange rates |
| Lehti: | European Financial Management
1999 : NOV, VOL. 5:3, p. 341-367 |
| Asiasana: | Assets Pricing Case studies Exchange rates Markets Models |
| Kieli: | eng |
| Tiivistelmä: | In this paper, there is presented a model of the dynamics of intradaily exchange rates. The current Over-The-Counter (OTC) exchange rate is the quote of the quoting bank. Considered are two polar cases: (i) If each bank is able to observe the noises relative to the orders of its own clients, then the OTC exchange rate is shown to obey a random walk with a constant conditional variance. (ii) If each bank is not able to observe the noises relative to the orders of its own clients, the OTC exchange rate is no more a random walk and conditional heteroskedasticity appears. constant conditional variance. |
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