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Original Articles

Evidence on volatility spillovers in the interwar floating exchange rate period based on high/low prices

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Pages 394-396 | Received 02 Jun 1995, Published online: 02 Nov 2006
 

Abstract

Evidence of volatility spillovers between four foreign exchange rates is examined in the interwar floating exchange rate period using daily high and low prices rather than closing prices. It is found that volatility is highly persistent and that spillovers occur.

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