Public information, private information, inventory contril, and volatility of intraday NTD/USD exchange rates

Y. F. Gau, M. Hau

Research output: Contribution to journalArticlepeer-review

12 Scopus citations

Abstract

This study uses the periodic GARCH (P-GARCH) model of Bollerslev and Ghysels (1996) to capture the irregularly repetitive seasonal variation in the volatility of 15-minute NTD/USD exchange rate changes. The specification of state variables enables us to test the microstructure hypotheses in the FX market.

Original languageEnglish
Pages (from-to)263-266
Number of pages4
JournalApplied Economics Letters
Volume11
Issue number4
DOIs
StatePublished - 15 Mar 2004

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