A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

Journal of International Money and Finance

Volumn 12, Issue 4, 1993, Pages 413-438

  Dacorogna, Michael M ^a   Müller, Ulrich A ^a   Nagler, Robert J ^a   Olsen, Richard B ^a   Pictet, Olivier V ^a  

^a Olsen Ltd   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000506834     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/0261-5606(93)90004-U     Document Type: Article

References (24)

1. A Restatement of the Quantity Theory of Money
2. Intra Day and Inter Market Volatility in Foreign Exchange Rates
3. Generalized Autoregressive Conditional Heteroskedasticity
4. Empirical Modelling of Exchange Rate Dynamics
5. Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation
6. Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
7. Minute by minute: Efficieny, Normality and ramdonmness in Intr-Daily Assets Prices
8. “News” and the Foreign Exchange Market
9. The Geographical Location of the Foreign Exchange Market; a Test of an “Island” Hypothesis
10. Every Minute Counts in Finacial Markets
11. Some Evidence on Daily Trading Activity in the London Forex Market
12. News from the US and Japan: Which Moves the Yen/Dollar Exchange Rate?
13. The Relation Between Price Changes and Trading Volume A survey
14. Statistical Methodology for Nonperiodic Cycles: From the Covariance to R/S Analysis
15. On the Distribution of Stock Price Differences
16. Fractional Brownian Motions Fractional Noises and Applications
17. Statistical Study of Foreign Exchange Rates, Empirical Evidence of a Price Change Scaling Law, and Intraday Analysis
18. Estimating Continuous-Time Processes Subject to Time Deformation
19. Flexible Exchange Rates: A Closer Look