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The euro and pound volatility dynamics: An investigation from conditional jump process

Wan, Jer-Yuh; Kao, Chung-Wei - In: Research in International Business and Finance 22 (2008) 2, pp. 193-207

This paper investigates the variations of the volatility of euro and pound after the introduction of euro. A GARJI model is employed to analyze the impact of the news arrivals on the exchange rate volatility. The results are robust to the data-splitting schemes and indicate: (1) the conditional...

Persistent link: https://www.econbiz.de/10005239909