Ito, Takatoshi; Engle, Robert F.; Lin, Wen-Ling - National Bureau of Economic Research (NBER) - 1992
The purpose of this paper is to examine the intra-daily volatility of the yen/dollar exchange rate over three different regimes from 1979 to 1988 which correspond to different degrees of international policy coordination. In each regime we test for heat wave vs. meteor shower effects. The heat...