Monetary information arrivals and intraday exchange rate volatility : A comparison of the GARCH and the EGARCH models
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- Darmoul Mokhtar & Nizar Harrathi, 2007. "Monetary information arrivals and intraday exchange rate volatility : a comparison of the GARCH and the EGARCH models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00174996, HAL.
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KeywordsExchange rate; official intervention; monetary policy; GARCH models.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-06 (All new papers)
- NEP-IFN-2007-10-06 (International Finance)
- NEP-MAC-2007-10-06 (Macroeconomics)
- NEP-MON-2007-10-06 (Monetary Economics)
- NEP-MST-2007-10-06 (Market Microstructure)
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