Negative autocorrelation around large jumps in intra-day foreign exchange data

DOI10.1016/S0165-1765(97)81906-4zbMATH Open0896.90011OpenAlexW2024484812MaRDI QIDQ1389584

Dipak Ghosh

Publication date: 30 June 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(97)81906-4

zbMATH Keywords

first-order negative autocorrelationintra-daylarge jumps

Mathematics Subject Classification ID

Economic growth models (91B62)

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