Market microstructure model: study of varations of exchange rate for Asia and Latin America.

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dc.contributor.authorSoares, Vasco Salazar
dc.contributor.authorLima, Antonieta Maria Sousa
dc.date.accessioned2013-08-16T11:56:14Z
dc.date.available2013-08-16T11:56:14Z
dc.date.issued2008pt_PT
dc.description.abstractThe paper studies the commercial relations between Europe and its principal commercial partners, such as Asia and Latin America, for the period of 1999 to 2007. The methodology appeals to the correlation analysis of the variables of the model and the autocorrelation of the exchange rate variation variable, to the Augmented Dickey-Fuller (1979) and Philips-Perron tests (1988), and finally, to the market microstructure model suggested by Medeiros (2005). Medeiros (2005) model, when applied to the Asian and Latin American markets, in their relations with Europe, give us more consistent and stronger results, although R2 is still very low. An estimation with ARCH/GARCH-M methodology increases the model capacity substantially, confirming the previous results of Medeiros (2005).pt_PT
dc.identifier.citationSoares, V.S., & Lima, A. (2008). Market microstructure model: study of varations of exchange rate for Asia and Latin America. Documentos de trabalho = Working papers, 2.pt_PT
dc.identifier.urihttp://hdl.handle.net/11328/410
dc.language.isoengpt_PT
dc.publisherCentro de Investigação em Gestão e Economia da Universidade Portucalensept_PT
dc.relation.ispartofseries2pt_PT
dc.rightsopen access
dc.subjectExchange ratept_PT
dc.subjectMarket microstructurept_PT
dc.subjectCountry riskpt_PT
dc.subjectCommercial relationspt_PT
dc.subjectEuropept_PT
dc.titleMarket microstructure model: study of varations of exchange rate for Asia and Latin America.pt_PT
dc.typejournal articlept_PT
dspace.entity.typePublicationen
person.affiliation.nameREMIT – Research on Economics, Management and Information Technologies
person.affiliation.nameREMIT – Research on Economics, Management and Information Technologies
person.familyNameSoares
person.familyNameLima
person.givenNameVasco Salazar
person.givenNameAntonieta Maria Sousa
person.identifier.ciencia-id5917-2E65-B427
person.identifier.ciencia-idE61A-68FD-1586
person.identifier.orcid0000-0001-7194-2140
person.identifier.orcid0000-0001-5171-1724
relation.isAuthorOfPublicatione782c058-5781-486a-8560-d4b447e25e50
relation.isAuthorOfPublicationfafd1a23-09aa-440f-a73d-48dede47180a
relation.isAuthorOfPublication.latestForDiscoverye782c058-5781-486a-8560-d4b447e25e50

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