2. Intraday return periodicity
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Our primary data set consists of 5-minute returns for the Deutschemark-U.S.$
(DM-$) exchange rate from October 1, 1992 through September 30, 1993,
comprising 74,880 observations, and the Standard and Poor's 500 (S&P 500)
composite stock index futures contract from January 2, 1986, through December
31, 1989, consisting of a total of 79,280 observations. A more detailed description
of the data sources and the calculation of the 5-minute returns is provided in
Appendix A. In addition, we use two daily time series of 3,649 spot DM-$
Our primary data set consists of 5-minute returns for the Deutschemark-U.S.$
(DM-$) exchange rate from October 1, 1992 through September 30, 1993,
comprising 74,880 observations, and the Standard and Poor's 500 (S&P 500)
composite stock index futures contract from January 2, 1986, through December
31, 1989, consisting of a total of 79,280 observations. A more detailed description
of the data sources and the calculation of the 5-minute returns is provided in
Appendix A. In addition, we use two daily time series of 3,649 spot DM-$