Supporting Information for "Foreign Exchange Fixings and Returns around the Clock"
Krohn, Ingomar; Mueller, Philippe; Whelan, Paul
2024

Description

Abstract: This repository contains the code used for the paper Foreign Exchange Fixings and Returns Around the Clock by Krohn, Mueller, and Whelan (2023). The codes run on Matlab version 2020 and higher and no toolboxes are required. The code runs on Stata SE v16 and various dependencies are required which are prompted for on execution.

Supporting information for peer-reviewed article published in the Journal of Finance. Paper published online December 18, 2023.

Details

Resource Type
Dataset - Reproducibility Package
DOI
https://doi.org/10.37214/jofdata.16
Title
Supporting Information for "Foreign Exchange Fixings and Returns around the Clock"
Creator
Krohn, Ingomar (Bank of Canada)
Mueller, Philippe (Finance Group, Warwick Business School)
Whelan, Paul (Department of Finance, The Chinese University of Hong Kong Business School)
Publisher
Oxford University Press
Date
2024
Version
1
Language
English
Relevant Dates
2023-12-18: Available
Rights
Creative Commons Attribution 4.0 International, CC-BY-4.0, (https://creativecommons.org/licenses/by/4.0/legalcode)
Publication Citation
Krohn, I., P. Mueller and P. Whelan. 2024. "Foreign Exchange Fixings and Returns around the Clock." The Journal of Finance 79 No. 1. https://doi.org/10.1111/jofi.13306.
Availability Statement
Replication files may be downloaded directly from the link in the DOI field. The download will start immediately; note the data and code package totals 1.6 GB.
Record Appears in
Bank of Canada Research > Research Reproducibility Packages

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