The interaction between the frequency of market quotations, spread and volatility in the foreign exchange market
The interaction between the frequency of market quotations, spread and volatility in the foreign exchange market
复制标题
外汇市场的市场报价频率、点差和波动性之间的相互作用
DOI：
10.1080/000368496328759
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发表时间：
1996
影响因子：
2.2
通讯作者：
C. Goodhart
中科院分区：
文献类型：
--
作者：
Antonis Demos;C. Goodhart
外汇现货市场的波动率、平均点差和报价数量之间存在经验关系。估计过程涉及两个步骤。在第一个模型中，这些变量之间的最佳函数形式是通过无限制 VAR 的最大化过程（涉及 Box-Cox 变换）确定的。第二步使用两阶段最小二乘法来估计联立方程系统框架中的变换变量。结果表明，报价数量成功地接近了现货市场的活动。此外，引用和时间虚拟变量的数量显着降低了条件异方差效应。我们还讨论了该模型的信息方面及其对金融信息理论的影响。还揭示了三个变量的日间和日内模式。
There is an empirical relationship between volatility, average spread, and number of quotations in the foreign exchange spot market. The estimation procedure involves two steps. In the first one the optimal functional form between these variables is determined through a maximization procedure of the unrestricted VAR, involving the Box—Cox transformation. The second step uses the two-stage least squares method to estimate the transformed variables in a simultaneous equation system framework. The results indicate that the number of quotations successfully approximates activity in the spot market. Furthermore, the number of quotations and temporal dummies reduce significantly the conditional heteroskedasticity e⁄ect. We also discuss information aspects of the model as well as its implications for financial informational theories. Inter- and intra-day patterns of the three variables are also revealed.