Do trading hours affect volatility links in the foreign exchange market?

Australian Journal of Management

Volumn 37, Issue 1, 2012, Pages 7-27

  Treepongkaruna, Sirimon ^a   Brooks, Robert ^b   Gray, Stephen ^c  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^b MONASH UNIVERSITY   (Australia)

^c UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Common information; Foreign exchange market; Stochastic volatility; Trading hours; Volatility spillover

Indexed keywords

EID: 84859371556     PISSN: 03128962     EISSN: 13272020     Source Type: Journal    
DOI: 10.1177/0312896211411934     Document Type: Article

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