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,...