Please use this identifier to cite or link to this item:
https://hdl.handle.net/1959.11/13696
Title: | Long-term asymmetry in the USD-DEM spot exchange rate volatility process | Contributor(s): | Bollen, Bernard (author) | Publication Date: | 2008 | DOI: | 10.1080/17446540701765241 | Handle Link: | https://hdl.handle.net/1959.11/13696 | Abstract: | This study proposes a new approach to the specification of the volatility process for the USD-DEM spot exchange rate. This new specification incorporates long-term asymmetric effects. Although asymmetry in the volatility process is well-documented, existing models have typically modelled the impact of the previous trading day's return upon contemporaneous volatility. In this study, it is demonstrated empirically that the historical return over the previous 8 months of trading has a significant impact upon contemporaneous volatility. The methodology employed in this study draws on recent research into realized volatility. By utilizing the concept of realized volatility, simple regression techniques can be implemented to develop an econometric model of long-term asymmetry in the volatility process for the USD-DEM spot exchange rate. | Publication Type: | Journal Article | Source of Publication: | Applied Financial Economic Letters, 4(6), p. 403-407 | Publisher: | Routledge | Place of Publication: | United Kingdom | ISSN: | 1744-6554 1744-6546 |
Fields of Research (FoR) 2008: | 150299 Banking, Finance and Investment not elsewhere classified | Socio-Economic Objective (SEO) 2008: | 910206 Market-Based Mechanisms | Peer Reviewed: | Yes | HERDC Category Description: | C1 Refereed Article in a Scholarly Journal |
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Appears in Collections: | Journal Article |
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