A note on intraday foreign exchange volatility and the informational role of quote arrivals
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- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988.
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- Takatoshi Ito & Robert F. Engle & Wen-Ling Lin, 1990. "Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination," NBER Working Papers 3504, National Bureau of Economic Research, Inc.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-229, March.
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- Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, vol. 19(1-2), pages 47-66, August.
- Wasserfallen, Walter & Zimmermann, Heinz, 1985. "The behavior of intra-daily exchange rates," Journal of Banking & Finance, Elsevier, vol. 9(1), pages 55-72, March.
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