Information and volatility links in the foreign exchange market

Accounting and Finance

Volumn 49, Issue 2, 2009, Pages 385-405

  Treepongkaruna, Sirimon ^a   Gray, Stephen ^b  

^a MONASH UNIVERSITY   (Australia)

^b UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Common information; Foreign exchange market; Market linkages; Stochastic volatility; Volatility spillover

Indexed keywords

EID: 65649098730     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/j.1467-629X.2008.00287.x     Document Type: Article

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