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What drives volatility persistence in the foreign exchange market?
Home
Publications
What drives volatility persistence in the foreign exchange market?
What drives volatility persistence in the foreign exchange market?
DB
David Berger
David Berger
AC
Alain Chaboud
Alain Chaboud
Erik Hjalmarsson
Erik Hjalmarsson
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30 November 2009
journal article
Published by
Elsevier BV
in
Journal of Financial Economics
Vol. 94
(2)
,
192-213
https://doi.org/10.1016/j.jfineco.2008.10.006
Abstract
No abstract available
Keywords
C22
F31
G12
VOLATILITY PERSISTENCE
HIGH-FREQUENCY DATA
REALIZED VOLATILITY
LONG MEMORY
EXCHANGE RATES
Cited by 65 articles