Public news announcements and quoting activity in the Euro/Dollar foreign exchange market

被引：6

作者：

Ben Omrane, Walid ^{[2
]}

Heinen, Andreas ^{[1
]}

机构：

[1] Univ Carlos III Madrid, Dept Estadist, Madrid 28903, Spain

[2] Univ Quebec, Dept Finance, ESG, Montreal, PQ H3C 3P8, Canada

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2010年 / 54卷 / 11期

关键词：

COUNT DATA; TIME-SERIES; VOLATILITY; REGRESSION;

D O I：

10.1016/j.csda.2009.11.018

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The effect of public news announcements on dealers' quoting activity is analyzed with the multivariate double autoregressive conditional Poisson model. Quoting activity is measured by the frequency of price revisions in the Euro/Dollar foreign exchange market. The multivariate double autoregressive conditional Poisson model is designed for time series of count data. It is based on the double Poisson distribution, which can be both over- and underdispersed. The main findings are first a significant interaction between dealers' quoting activity, which confirms hot potato trading. Second, news announcements have a different impact on the quoting activity of different banks. Third, impulse-response functions to news announcements show the dynamic nature of the reaction to these news releases. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：2419 / 2431

页数：13

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[No title captured]

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