Decomposing intraday dependence in currency markets: evidence from the AUD/USD spot market

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dc.contributor.author Batten, J
dc.contributor.author Ellis, C
dc.contributor.author Hogan, W
dc.date.accessioned 2009-12-21T02:28:07Z
dc.date.issued 2005-01
dc.identifier.citation Physica A: Statistical Mechanics and its Applications, 2005, 352 (2-4), pp. 558 - 572
dc.identifier.issn 0378-4371
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/3457
dc.description.abstract The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in the local Hurs
dc.publisher Elsevier Science Bv
dc.relation.isbasedon 10.1016/j.physa.2005.01.012
dc.title Decomposing intraday dependence in currency markets: evidence from the AUD/USD spot market
dc.type Journal Article
dc.parent Physica A: Statistical Mechanics and its Applications
dc.journal.volume 2-4
dc.journal.volume 352
dc.journal.number 2-4 en_US
dc.publocation Amsterdam, Netherlands en_US
dc.identifier.startpage 558 en_US
dc.identifier.endpage 572 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 0105 Mathematical Physics
dc.personcode 998277
dc.personcode 944972
dc.percentage 100 en_US
dc.classification.name Mathematical Physics en_US
dc.classification.type FOR-08 en_US
dc.custom 1.369 en_US
dc.description.keywords scaling volatility; long-range dependence; foreign exchange; market microstructure en_US
dc.description.keywords scaling volatility
dc.description.keywords long-range dependence
dc.description.keywords foreign exchange
dc.description.keywords market microstructure
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)


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