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Bilinear quadratic ARCH and volatility spillovers in inter-war exchange rates

✍ Scribed by Byers, J. D.; Peel, D. A.

Book ID
126684785
Publisher
Taylor and Francis Group
Year
1995
Tongue
English
Weight
106 KB
Volume
2
Category
Article
ISSN
1350-4851

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## Abstract We explore the determinants of intraday volatility in interest‐rate and foreign‐exchange markets, focusing on the importance and interaction of three types of information in predicting intraday volatility: (a) knowledge of recent past volatilities (i.e., ARCH or Autoregressive Condition