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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/72682
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/72682

    Title: Calibrating an Algorithm for Estimating Transactions from FXFX Exchange Rate Quotations
    Authors: 張元晨
    Chang, Yuanchen;Goodhart, C.A.E.;Payne, Richard
    Contributors: 財管系
    Date: 1997-12
    Issue Date: 2015-01-08 17:31:01 (UTC+8)
    Abstract: In this paper we investigate the efficiency of a class of transaction-generating algorithms, originally suggested in Bollerslev and Domowitz (1993). Our comparison utilizes real transaction data recorded over Reuters D2000-2 electronic broking system for 7 h in June 1993 and transaction data generated from FXFX quotations over an identical period. Results suggest that, at this high-frequency data sampling, the performance of these transaction-generating algorithms is poor, with the most likely explanation of this outcome due to the high-frequency characteristics of FXFX spreads and quotation intensity.
    Relation: Journal of International Money and Finance, 16(6), 921-930
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/S0261-5606(97)00013-2
    DOI: 10.1016/S0261-5606(97)00013-2
    Appears in Collections:[財務管理學系] 期刊論文

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