Exchange rate volatility and the mixture of distribution hypothesis

Author:

Bauwens Luc,Rime Dagfinn,Sucarrat Genaro

Publisher

Physica-Verlag HD

Reference31 articles.

1. Akram QF 2000 When does the oil price affect the Norwegian exchange rate? Working Paper 2000/8. The Central Bank of Norway, Oslo

2. Andersen TG, Bollerslev T, Diebold FS, Labys P 2001 The distribution of realized exchange rate volatility. J Am Stat Assoc 96:42-55

3. Bauwens L, Ben Omrane W, Giot P (2005) News announcements, market activity and volatility in the euro/dollar foreign exchange market. J Int Money Financ, Forthcoming

4. Bessembinder H, Seguin P 1992 Futures-trading activity and stock price volatility. J Financ 47:2015-2034

5. Bjønnes G, Rime D, Solheim H 2005 Volume and volatility in the FX market: does it matter who you are? In: De Grauwe P (ed) Exchange rate modelling: where do we stand? MIT Press, Cambridge, MA

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