What drives volatility persistence in the foreign exchange market?☆
نویسندگان
چکیده
منابع مشابه
Common Volatility in the Foreign Exchange Market
The adverse effect of currency volatility on international trade has prompted the inception of the European Monetary System (EMS) and other measures of international policy coordination aimed at reducing intracurrency variability. Until "Black Wednesday" in September 1992 the EMS had some sucess in this objective, but following pressure on the Italian Lira, other ERM currencies (viz. Sterling, ...
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Volatility spillovers of the DM/$ and ¥/$ exchange rate across regional markets are examined using the integrated volatility of highfrequency data. An analysis of quoting patterns reveals ve distinct regions: Asia, Asia-Europe overlap, Europe, Europe-America overlap, and America. After reviewing theoretical foundations for persistence of volatility in dealership markets, regional volatility m...
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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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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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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2009
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2008.10.006