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High Frequency Exchange Rate Modelling

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Exchange Rate Modelling

Part of the book series: Advanced Studies in Theoretical and Applied Econometrics ((ASTA,volume 37))

Abstract

In some markets, including foreign exchange, virtually continuous data can be observed, collected and analysed. Second-by-second or tick-by-tick data are easy to acquire, although the number of time series covered are usually limited to market prices. These are either ‘indicative’ quotes, such as from the Reuters FXFX page, where the quoting bank is not committed to trade at the posted rates, or actual trade data, such as from the Reuters electronic broking system D2000-2.1 The time span of these databases are also limited to between several hours’ and one years’ worth of data (Goodhart and O’Hara, 1997)

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Author information

Authors and Affiliations

  1. University of Strathclyde, UK

    Ronald MacDonald

  2. City University Business School, UK

    Ian Marsh

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  1. Ronald MacDonald
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  2. Ian Marsh
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© 1999 Springer Science+Business Media Dordrecht

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MacDonald, R., Marsh, I. (1999). High Frequency Exchange Rate Modelling. In: Exchange Rate Modelling. Advanced Studies in Theoretical and Applied Econometrics, vol 37. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-2997-9_6

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  • DOI: https://doi.org/10.1007/978-1-4757-2997-9_6

  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-1-4419-5113-7

  • Online ISBN: 978-1-4757-2997-9

  • eBook Packages: Springer Book Archive

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