Intradaily exchange rate movements

Dominique M. Guillaume

"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...