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

Y. F. Gau; M. Hau

doi:10.1080/13504850410001674939

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

Y. F. Gau, M. Hau

財務金融學系

研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

12 引文斯高帕斯（Scopus）

摘要

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.

原文	???core.languages.en_GB???
頁（從 - 到）	263-266
頁數	4
期刊	Applied Economics Letters
卷	11
發行號	4
DOIs	https://doi.org/10.1080/13504850410001674939
出版狀態	已出版 - 15 3月 2004

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10.1080/13504850410001674939

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M3 - 期刊論文

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

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