Past trend versus future expectation: test of exchange rate volatility
نویسندگان
چکیده
منابع مشابه
Noise, Exchange Rate Trend and Volatility: Theory and Empirical Evidence
Exchange rates differ considerably with respect to exchange rate volatility, while they are very similar with respect to the macroeconomic fundamentals — the well known exchange rate disconnect puzzle. The microeconomic structure of foreign exchange markets, especially the existence of noise traders, may be responsible for the excessive volatility in flexible exchange rate regimes. The entry of...
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ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 1998
ISSN: 1350-4851,1466-4291
DOI: 10.1080/758521369