High-Frequency Data and Volatility in Foreign-Exchange Rates
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چکیده
منابع مشابه
High - Frequency Data and Volatility in Foreign - Exchange Rates
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Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986 are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worl...
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Local Polynomial Estimation (LPE) is implemented on a dataset of high-frequency foreign exchange (FX) quotes. This nonparametric technique is meant to provide a exible background against which to evaluate parametric time series models. Assuming a conditionally heteroscedastic nonlinear autoregressive (CHARN) model, estimates of the mean and volatility functions are reported. The mean function d...
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When asset returns are normally distributed the risk of an asset over a long return interval may be estimated by scaling the risk from shorter return intervals. While it is well known that asset returns are not normally distributed a key empirical question concerns the effect that scaling the volatility of dependent processes will have on the pricing of related financial assets. This study prov...
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This paper investigates the impact of the frequency of general and currency-specific news headlines on de-seasonalized intraday DEM-USD exchange rate changes. We find a significant relationship between volatility and the frequency of news. In particular, more news is associated with an increase in volatility. The result that spot exchange rates are more volatile during periods for which there i...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 1996
ISSN: 0735-0015
DOI: 10.2307/1392098