Efficiency and News in Exchange Rate Market. The Euro/Dollar Case
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"Efficiency and News in Exchange Rat..." refers background in this paper
...2 Hakkio, 1981; MacDonald 1983, Hodrick and Srivastava, 1984; Domowitz and Hakkio, 1984; Fama, 1984; Taylor, 1988; Corbae et al., 1992, 3 Frenkel 1980, Longworth 1981, Hakkio and Rush, 1989; Baillie and Bollerslev, 1989; Lai and Lai, 1991; Masih and Masih, 1995 To estimate the presence of news we…...
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"Efficiency and News in Exchange Rat..." refers background or methods in this paper
...In fact we take the equation s t+ j -s t = α + β(E t s t+ j -s t ) + γnews t+ j + µ t+ j [13] following the ‘news’ model proposed by Frenkel (1980, 1981) and modified by Apergis and Eleftheriou (1997) into the equation [14]6: (st+i-st) = α + β(Ft-st) +γnewst+i + µt+i [14] We then use the residuals…...
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...2 Hakkio, 1981; MacDonald 1983, Hodrick and Srivastava, 1984; Domowitz and Hakkio, 1984; Fama, 1984; Taylor, 1988; Corbae et al., 1992, 3 Frenkel 1980, Longworth 1981, Hakkio and Rush, 1989; Baillie and Bollerslev, 1989; Lai and Lai, 1991; Masih and Masih, 1995 To estimate the presence of news we…...
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