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Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong
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A High-Low Model of Daily Stock Price Ranges
Cheung, Yan-Leung
;
Cheung, Yin-Wong
;
Wan, Alan T. K.
-
Hong Kong Institute for Monetary Research (HKIMR), …
-
2009
concept and the related vector error correction model (VECM) to model the daily high, the
daily
low
, and the associated daily …
Persistent link: https://www.econbiz.de/10005357458
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2
Predicting daily highs and lows of exchange rates: a cointegration analysis
He, Angela
;
Wan, Alan
- In:
Journal of Applied Statistics
36
(
2009
)
11
,
pp. 1191-1204
This article presents empirical evidence that links the daily highs and lows of exchange rates of the US dollar against two other major currencies over a 15 year period. We find that the log high and log low of an exchange rate are cointegrated, and the error correction term is well-approximated...
Persistent link: https://www.econbiz.de/10009225327
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