The American Economic Review, Volume 96American Economic Association., 2006 |
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... observed fundamentals in the two models . In the heterogeneous informa- tion model , the observed fundamental is f while in the common knowledge model it also includes v . We compare the R2 of a regression of the exchange rate on ...
... observed fundamentals in the two models . In the heterogeneous informa- tion model , the observed fundamental is f while in the common knowledge model it also includes v . We compare the R2 of a regression of the exchange rate on ...
Página 568
... OBSERVED FUNDAMENTALS AND (. Simulation 1 0.18 10 15 20 25 30 35 -0.01 0.15 Exchange Rate ( s ) Simulation 2 Cumulative Order Flow ( x ) , -0.02 0.12 -0.03 0.09 -0.04 -0.05 0.06 -0.06 Exchange Rate ( s ) 0.03 Cumulative -0.07 time Order ...
... OBSERVED FUNDAMENTALS AND (. Simulation 1 0.18 10 15 20 25 30 35 -0.01 0.15 Exchange Rate ( s ) Simulation 2 Cumulative Order Flow ( x ) , -0.02 0.12 -0.03 0.09 -0.04 -0.05 0.06 -0.06 Exchange Rate ( s ) 0.03 Cumulative -0.07 time Order ...
Página 569
... observed fundamentals 0.01 0.03 0.05 0.07 0.09 0.01 0.01 0.15 0.17 0.19 0.21 σ observed fundamentals R2 1 order flow 0.8 0.6 0.4 0.2 0 0.000 observed fundamentals 0.004 0.008 0.012 0.016 0.020 0.024 0.028 R2 бр 1 order flow order flow ...
... observed fundamentals 0.01 0.03 0.05 0.07 0.09 0.01 0.01 0.15 0.17 0.19 0.21 σ observed fundamentals R2 1 order flow 0.8 0.6 0.4 0.2 0 0.000 observed fundamentals 0.004 0.008 0.012 0.016 0.020 0.024 0.028 R2 бр 1 order flow order flow ...
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