Information and volatility links in the foreign exchange market
β Scribed by Sirimon Treepongkaruna; Stephen Gray
- Book ID
- 110936614
- Publisher
- John Wiley and Sons
- Year
- 2009
- Tongue
- English
- Weight
- 632 KB
- Volume
- 49
- Category
- Article
- ISSN
- 0810-5391
No coin nor oath required. For personal study only.
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 This paper posits asymmetric information as the missing link between the currency demands of investors and changes in the exchange rate. A theoretical model demonstrates that changes in the exchange rate and currency demand are positively correlated for wellβinformed investors and negat