Calibrating an algorithm for estimating transactions from FXFX exchange quotes
Article Abstract:
The study of the comparison between actual recorded transactions and transactions produced from FXFX quotations that employed specific artificial deal-generating algorithms showed equally negative at the fine sampling frequency used. Furthermore, the results differ only very in a small degree with modifications to the algorithm. It was established that there is minimal disparity between the outcomes from assuming fixed lifetimes.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1997
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Estimating the credibility of an exchange rate target zone
Article Abstract:
The effectivity of the French franc-Deutschemark target zone is examined by evaluating a suppressed rational expectations Tobit model with everyday information during January 1989 to February 1993. The projected rate of devaluation of the franc throughout the middle of 1992 was marked by unstable activities from 1% to 2.5%. Hence, the reappearance of the rate of devaluation of 2.5% in the autumn of 1992 is not that surprising.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1997
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