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What drives volatility persistence in the foreign exchange market?☆ · Study

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ArticleWhat drives volatility persistence in the foreign exchange market?☆

Alain Chaboud2009

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Articlegreen2009

What drives volatility persistence in the foreign exchange market?☆

Alain Chaboud · Erik Hjalmarsson

98 citations·0/0 files stored·Journal of Financial Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1985Continuous Auctions and Insider Trading 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1991Measuring the Information Content of Stock Trades 1986Understanding spurious regressions in econometrics 1995Gaussian Semiparametric Estimation of Long Range Dependence

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2013The market microstructure approach to foreign exchange: Looking back and looking forward 2011Spot and forward volatility in foreign exchange 2021Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach 2009Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets 2015High Frequency Analysis of Macro News Releases on the Foreign Exchange Market: A Survey of Literature

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Year2009

Typearticle

Published2009-07-17

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations98

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jfineco.2008.10.006

openalex_workW2007703899

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2015

Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach

2017Excess Volatility as an Impediment for a Digital Currency

2022The role of binance in bitcoin volatility transmission