A note on intraday foreign exchange volatility and the informational role of quote arrivals

DOI10.1016/0165-1765(94)00626-DMaRDI QIDQ672930zbMATH OpenOpenAlexFDO

Authors Nobuya Takezawa

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(94)00626-d

zbMATH Keywords

Foreign exchange ratesG15GARCHVolatility

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• The Price Variability-Volume Relationship on Speculative Markets

Cited in

(5)

• Intraday trade and quote dynamics: A Cox regression analysis
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
• scientific article; zbMATH DE number 6453480 (Why is no real title available?)
• The impact of order flow on the foreign exchange market: a copula approach

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