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Cointegration and Exchange MarketEfficiency: An Analysis of High

Frequency Data

Adrian TraplettiAlois Geyer

Friedrich Leisch

Working Paper No. 52August 1999

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August 1999

SFBAdaptive Information Systems and Modelling in Economics and

Management Science

Vienna University of Economicsand Business Administration

Augasse 26, 1090 Wien, Austria

in cooperation withUniversity of Vienna

Vienna University of Technology

http://www.wu-wien.ac.at/am

This piece of research was supported by the Austrian Science Foundation(FWF) under grant SFB#010 (Adaptive Information Systems and

Modelling in Economics and Management Science).

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-

-

-

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-

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-

-

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0

100

200

300

400

0.1 0.0

Lag

0

100

200

300

400

0.1 0.0 0.1 0.2 0.3 0.4

Lag

ACF

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0

5

10

15

20

25

30

0.0

Lag

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- -

-

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0.0 0.1 0.2 0

USD

JP0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7

DEM

JPY

5000

6000

7000

8000

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0.00 0.02 0.04 0.06 0.0

USD

JP0.00 0.05 0.10 0.15 0.20

DEM

JPY

5000

6000

7000

8000

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-

-

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-

0 50 100 150

0

50

100

150

Operational Time

BusinessTime

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