Juttner, D. Johannes; Leung, Wayne - In: Multinational Finance Journal 13 (2009) 1-2, pp. 103-134
This study examines on the basis of economic theory the determinants of exchange rate volatilities for a large number of currencies. We relate daily changes in GARCH(1,1) volatilities of exchange rates to the volatility changes of several of their presumed fundamental economic determinants in...