Han, Young Wook - In: International Economic Journal 24 (2010) 3, pp. 375-396
This paper characterizes the intraday dynamics of the high frequency US Dollar (USD)-Euro (EUR) and US Dollar (USD)-Japanese Yen (JPY) foreign exchange rates that have been subject to macroeconomic fundamentals. Even though the FIGARCH model with a normality assumption is found to be a good...