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Your Lecture 2 Yanyan Yang Sentiment in Foreign Exchange Market
Your Lecture 2 Yanyan Yang Sentiment in Foreign Exchange Market
Your Lecture 2 Yanyan Yang Sentiment in Foreign Exchange Market
Yanyan Yang
Claremont Graduate University
Fundamental Sentiment
0 10 20 30 40
Lag
Bartlett's formula for MA(q) 95% confidence bands
1.00
Autocorrelations of snxeu0
0.00 -0.50 0.50
0 10 20 30 40
Lag
Bartlett's formula for MA(q) 95% confidence bands
0 10 20 30 40
Lag
Bartlett's formula for MA(q) 95% confidence bands
snxus0 snxeu0
snxjp0
1
.8
50
.6
0
.4
-50
.2
-100
0
01jan2000 01jan2005 01jan2010 01jan2015
date1
ussen eusen
usrecession eurecession
1
.8
50
.6
0
.4
-50
.2
-100
0
01jan2000 01jan2005 01jan2010 01jan2015
date1
snxus0 snxeu0
usrecession eurecession
Zt
.08
.15
.06
.10
.04
.02
.05
.00
.00
-.02
-.04 -.05
2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24
.15
.3
.10
.2
.05
.1
.00
.0
-.05
-.1 -.10
2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24
80 80
60 60
40 40
20 20
0 0
2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24
80 80
60 60
40 40
20 20
0 0
2 4 6 8 10 12 14 16 18 20 22 24 2 4 6 8 10 12 14 16 18 20 22 24