Concepedia

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Ramazan Gençay, Michel M. Dacorogna, Giuseppe Ballocchi, Richard B. Olsen, Olivier V. Pictet

SSRN Electronic Journal · 1999 · 34 citations · 14 references

DOIFull text

Open access

Concepts

References

14

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

, , +11

Decisions with Multiple Objectives: Preferences and Value Tradeoffs.

Journal of the Operational Research Society · 1994 · 8.5K citations

, , +14

The Sharpe Ratio

William F. Sharpe · The Journal of Portfolio Management · 1994 · 2.5K citations

, , +9

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

William Brock, Josef Lakonishok, Blake LeBaron · The Journal of Finance · 1992 · 2.2K citations

, , +12

Intraday periodicity and volatility persistence in financial markets

Torben G. Andersen, Tim Bollerslev · Journal of Empirical Finance · 1997 · 1.4K citations

, , +16