The incremental volatility information in one million foreign exchange quotations

Journal of Empirical Finance

Volumn 4, Issue 4, 1997, Pages 317-340

  Taylor, Stephen J ^a   Xinzhong, Xu ^b  

^a LANCASTER UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

ARCH models; Exchange rates; High frequency data; Options; Volatility

Indexed keywords

EID: 0031498068     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(97)00010-8     Document Type: Article

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