Title of article
Negative autocorrelation around large jumps in intra-day foreign exchange data
Author/Authors
Dipak Ghosh، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
7
From page
235
To page
241
Abstract
This paper addresses the issue of first-order negative autocorrelation around large changes in high-frequency foreign exchange rate data. This phenomenon is found to exist at smaller time horizons and disappear at larger horizons.
Keywords
Large jumps , Intra-day , First-order negative autocorrelation
Journal title
Economics Letters
Serial Year
1997
Journal title
Economics Letters
Record number
434394
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