کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
980454 | 1480478 | 2007 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Intraday exchange rate volatility: ARCH, news and seasonality effects
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper examines how the calendar seasonality in terms of intraday New Taiwan dollar/U.S. dollar (NTD/USD) exchange rate volatility is impacted by public news arrivals and the unexpected volume shocks. Incorporating counts of Taiwan and the U.S news releases, unexpected volume of trading, and explicit time-of-day seasonality into the framework of GARCH model, we find that the pronounced periodicity of intraday volatility can be partly captured by the augmented model, whereas the spikes of volatility at the market closing and at the opening of the afternoon trading session are not successfully explained by time-of-day factors, public news, unexpected volume of trading, and lagged squared return innovations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 47, Issue 1, March 2007, Pages 135–158
Journal: The Quarterly Review of Economics and Finance - Volume 47, Issue 1, March 2007, Pages 135–158
نویسندگان
Yin-Feng Gau, Mingshu Hua,