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Author:   Dominique M. Guillaume
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   Softcover reprint of the original 1st ed. 2000
Dimensions:   Width: 15.50cm , Height: 0.90cm , Length: 23.50cm
Weight:   0.290kg
ISBN:  

9781461370895

ISBN 10:   1461370892
Pages:   162
Publication Date:   03 October 2012
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
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Table of Contents

1 A Typology of Foreign Exchange Rates Models.- 1.1 Models with fixed point.- 1.2 Models with multiple equilibria.- 1.3 Models with chaotic attractors.- 1.4 Models with multiple attractors.- 1.5 Models with no attractor.- 1.6 Models with no attractor but some structure.- 2 From the Bird’s Eye to the Microscope: A Survey of New Stylised Facts.- 2.1 Introduction.- 2.2 Description of the Foreign Exchange Market.- 2.3 Definition of the Variables of Interest.- 2.4 Stylised facts.- 2.5 Conclusion.- 2.6 Appendix.- 3 Chaos in the Foreign Exchange Markets.- 3.1 Methodology.- 3.2 Results.- 3.3 Conclusion.- 4 Sources of Nonlinearities in the Foreign Exchange Markets.- 4.1 Introduction.- 4.2 Methodology.- 4.3 Results.- 4.4 Conclusion.- 5 On the Intradaily Performance of GARCH Processes.- 5.1 Introduction.- 5.2 Description of the data.- 5.3 Alternative time scales.- 5.4 Results.- 5.5 Conclusion.- 5.6 Appendix.- 6 Do Technical Trading Rules Generate Profits?.- 6.1 Introduction.- 6.2 Data and methodology.- 6.3 Results.- 6.4 Conclusion.

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Author Information

Dominique Guillaume (1966) is currently at the International Monetary Fund. He holds a Ph.D. in Economics from the University of Louvain and is a former researcher at the Financial Markets Group at the London School of Economics and the Institute of Economics and Stastistics at Oxford University.

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