Data

 This presentation is based on 2252 daily prices for the value of 1 United States Dollar (USD) expressed in the following 10 units:

• Swiss Francs (CHF)
• German Marks (DEM)
• French Francs (FRF)
• British Pounds (GBP)
• Italian Lira (ITL)
• Japanese Yen (JPY)
• Netherland Guilder (NLG)
• Swedish Kroner (SEK)
• Gold Ounces (XAU)
• Silver Ounces (XAG)

The 2252 prices w_t^(k) corresponding to each series k are constructed by linearly interpolating the middle prices, constructed as a geometric mean of bid and ask [26], from the 2 nearest quotes which bracket 16:00 UKT. Of course, as a corollary to the linear interpolation - if a quote falls exactly on 16:00 UKT then the middle price from this quote is used. Only quotes which have been filtered using O&A filtering technology - and from an original high frequency database of O&A collected quotes from 3 real-time data vendors - Knight Ridder, Reuters and Telerate are used. The daily prices do not include Saturdays, Sundays, Christmas days, December 26 and New years day. The first price in this data set belongs to February 23, 1988 and the last price belongs to October 31, 1996.