Twice a day or continuously? Observation frequency and inference on foreign exchange volatility persistence
This paper examines how observation frequency alters inference on cross-locational volatility dependencies in the foreign exchange market. When volatility proxies are based on tick-by-tick exchange rate quotes, this paper finds evidence of statistically significant own-region volatility persistence as well as symmetric interregional dependence. In addition, this paper detects strong day-of-the-week effects, with Mondays displaying the lowest volatility. These results differ from previous studies which based volatility estimates on only two daily observations per region. Copyright International Atlantic Economic Society 1998
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Volume (Year): 26 (1998)
Issue (Month): 1 (March)
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