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Exchange Rate Volatility and the Mixture of Distribution Hypothesis
Luc, BAUWENS; Dagfinn, RIME; Genaro, SUCARRAT - Institut de Recherche Économique et Sociale (IRES), … - 2005
This paper sheds new light on the mixture of distribution hypothesis by means of a study of the weekly exchange rate volatility of the Norwegian krone. In line with other studies we find that the impact of information arrival on exchange rate volatility is positive and statiscally significant,...
Persistent link: https://www.econbiz.de/10004984767
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Exchange rate volatility and the mixture of distribution hypothesis
BAUWENS, Luc; RIME, Dagfinn; SUCARRAT, Genaro - Center for Operations Research and Econometrics (CORE), … - 2005
This paper sheds new light on the mixture of distribution hypothesis by means of a study of the weekly exchange rate volatility of the Norwegian krone. In line with other studies we find that the impact of information arrival on exchange rate volatility is positive and statistically significant,...
Persistent link: https://www.econbiz.de/10005008196
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Trading volume, volatility, and GARCH effects int eh South Korean Won/US dollar exchange market : evidence from conditional quantile estimation
Park, Beum-jo - In: The Japanese economic review : the journal of the … 58 (2007) 3, pp. 382-399
Persistent link: https://www.econbiz.de/10003520194
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Relationship between trading volume and asymmetric volatility in the Korean stock market
Choi, Ki-hong; Jiang, Zhu-hua; Kang, Sang Hoon; Moon, … - In: Modern economy 3 (2012) 5, pp. 584-589
Persistent link: https://www.econbiz.de/10009720531
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A generalized autoregressive conditional heteroskedasticity examination of the relationship between trading volume and conditional volatility in the Tunisian stock market : evidenc...
Belhaj, Fethi; Abaoub, Ezzeddine - In: International journal of economics and financial issues … 5 (2015) 2, pp. 354-364
Persistent link: https://www.econbiz.de/10011453520
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Measuring the liquidity part of volume
Darolles, Serge; LeFol, Gaëlle; Mero, Gulten - In: Journal of banking & finance 50 (2015), pp. 92-105
Persistent link: https://www.econbiz.de/10010509138
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Stochastic volatility, liquidity and intraday information flow
Li, Jinliang; Wu, Chunchi - In: Applied economics letters 18 (2011) 16/18, pp. 1511-1515
Persistent link: https://www.econbiz.de/10009383452
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Factors effecting trading volume : a test of mixed distribution hypothesis
Ananzeh, Izz Eddien Naif - In: International journal of financial research 6 (2015) 4, pp. 207-216
Persistent link: https://www.econbiz.de/10011405503
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The empirical investigation of causal relationship between intraday return and volume in Indian stock market
Sahota, Gurleen; Singh, Balwinder - In: Vision : the journal of business perspective 20 (2016) 3, pp. 199-210
Persistent link: https://www.econbiz.de/10011667354
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Back to normal? : a study of the behaviour of volatility in the Indian stock market
Viswanathan, Lakshmi; Maheswaran, S. - In: IIMB management review 31 (2019) 1, pp. 63-70
Persistent link: https://www.econbiz.de/10012106074