Stoja, Evarist; Harris, Richard D. F.; Yilmaz, Fatih - School of Economics, Finance and Management, University … - 2010
In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical deviation of the range from the long run trend as a...
