High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/ SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between two normalized spectrograms of the tick frequency and the g
✦ LIBER ✦
Analysis of Fokker–Planck approach for foreign exchange market statistics study
✍ Scribed by A.P. Smirnov; A.B. Shmelev; E.Ya. Sheinin
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 162 KB
- Volume
- 344
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
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This paper examines the monetary model of exchange rate determination from a long-run perspective in the presence of a 'parallel' or 'black' market for US dollars in Greece using monthly data for the recent float, in four ways. First, unit root tests that maintain both stationarity and nonstationari