DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
收藏NBER1996-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w5783
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资源简介：
This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five-minute returns. Our modeling approach explicitly captures the pronounced intraday activity patterns, the strong macroeconomic announcement effects, and the volatility persistence, or ARCH
提供机构：
美国国家经济研究局
创建时间：
1996-10-01
