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-$