Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates
AbstractThis study uses the periodic GARCH (P-GARCH) model of Bollerslev and Ghysels (1996) to capture the irregularly repetitive seasonal variation in the volatility of 15-minute NTD/USD exchange rate changes. The specification of state variables enables us to test the microstructure hypotheses in the FX market.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 11 (2004)
Issue (Month): 4 ()
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- Gau, Yin-Feng & Hua, Mingshu, 2007. "Intraday exchange rate volatility: ARCH, news and seasonality effects," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 135-158, March.
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