Evidence on volatility spillovers in the interwar floating exchange rate period based on high/low prices
Evidence of volatility spillovers between four foreign exchange rates is examined in the interwar floating exchange rate period using daily high and low prices rather than closing prices. It is found that volatility is highly persistent and that spillovers occur.
Year of publication: |
1995
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Authors: | Byers, J. D. ; Peel, D. A. |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 2.1995, 10, p. 394-396
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Publisher: |
Taylor & Francis Journals |
Saved in:
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