Intradaily exchange rate movements

by 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:...