A note on intraday foreign exchange volatility and the informational role of quote arrivals

DOI10.1016/0165-1765(94)00626-DzbMath0900.90179OpenAlexW2054840870MaRDI QIDQ672930

Nobuya Takezawa

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00626-d

zbMATH Keywords

GARCHForeign exchange ratesG15Volatility

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The Price Variability-Volume Relationship on Speculative Markets
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

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