Foreign Exchange Market Volatility in Southeast Asia
β Scribed by Peijie Wang; Ping Wang
- Book ID
- 110285102
- Publisher
- Springer
- Year
- 1999
- Tongue
- English
- Weight
- 113 KB
- Volume
- 6
- Category
- Article
- ISSN
- 1573-6946
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π SIMILAR VOLUMES
## Abstract Intraday volatility for the Eurodollar, the Euro/dollar foreign exchange rate, and the Eβmini S&P 500 futures contracts traded on a continuous 23βhour schedule on the Chicago Mercantile Exchange Globex electronic platform is studied. Volatility transmission in a single market across dif
## Abstract In this paper, we adapt the Multiplicative Error Model (MEM) to analyze the interdependence of volatility across markets. The MEM specifies the dynamics of a volatility proxy (absolute returns) for one market including terms accounting for an asymmetric impact of good or bad news on the