Idiosyncratic Volatility, Economic Fundamentals, and Foreign Exchange Rates
نویسندگان
چکیده
منابع مشابه
Volatility in Foreign Exchange Rates
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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متن کاملDo macro-economic news announcements affect the volatility of foreign exchange rates? Some evidence from Australia
This paper investigates the role of Australian macro-economic announcement news on ® ve major Australian dollar (AUD) exchange rates. Speci® cally, the daily changes of the exchange rates are modelled to ascertain the existence and the nature of the news e ects in the conditional mean and variance of the changes. It is found that a higher than expected current account de® cit and unemployment ...
متن کاملScaling Foreign Exchange Volatility
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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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.902410