INTRADAY PATTERNS IN EXCHANGE RATE OF RETURN OF THE CHILEAN PESO: NEW EVIDENCE FOR DAY-OF-THE-WEEK EFFECT
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Abstract
We use a new statistical test based on the signal coherence function to detect subtle periodicities in the Chilean exchange rate. We resort to a unique intraday data set that allows us to capture pers...
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Macroeconomic Dynamics, 14 (Supplement 1), 2010, 42–58
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