Asymmetric volatility in the foreign exchange markets

Journal of International Financial Markets, Institutions and Money

Volumn 19, Issue 4, 2009, Pages 597-615

  Wang, Jianxin ^a   Yang, Minxian ^a  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Asymmetric volatility; Continuous and jump components of volatility; Exchange rates; Leverage effect; Realized variance

Indexed keywords

EID: 67349090015     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2008.10.001     Document Type: Article

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