| dc.contributor | 財管系 | |
| dc.creator (作者) | 張元晨 | zh_TW |
| dc.creator (作者) | Chang, Yuanchen;Goodhart, C.A.E.;Payne, Richard | |
| dc.date (日期) | 1997-12 | |
| dc.date.accessioned | 8-Jan-2015 17:31:01 (UTC+8) | - |
| dc.date.available | 8-Jan-2015 17:31:01 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Jan-2015 17:31:01 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/72682 | - |
| dc.description.abstract (摘要) | 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. | |
| dc.format.extent | 614400 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of International Money and Finance, 16(6), 921-930 | |
| dc.title (題名) | Calibrating an Algorithm for Estimating Transactions from FXFX Exchange Rate Quotations | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/S0261-5606(97)00013-2 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/S0261-5606(97)00013-2 | en_US |
