60
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Change in unconditional foreign exchange rate volatility: an analysis of the GBP and USD price of the Euro from 2002 to 2003

&
Pages 929-932 | Published online: 20 Aug 2006

References

  • Andersen , TG and Bollerslev , T . 1997 . Heterogeneous information arrival and return volatility dynamics: uncovering the long-run in high frequency returns . Journal of Finance , 52 : 975 – 1005 .
  • Andersen , TG and Bollerslev , T . 1998 . Deutsche mark-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies . Journal of Finance , 53 : 219 – 65 .
  • Andersen , TG , Bollerslev , T , Diebold , FX and Labys , P . 2001 . The distribution of realized exchange rate volatility . Journal of the American Statistical Association , 96 : 42 – 55 .
  • Andersen , TG , Bollerslev , T , Diebold , FX and Vega , C . 2003 . Micro effects of macro announcements: real-time price discovery in foreign exchange . The American Economic Review , 93 : 38 – 62 .
  • Andreou , E and Ghysels , E . 2002 . Detecting multiple breaks in financial market volatility dynamics . Journal of Applied Econometrics , 17 : 579 – 600 .
  • Ballie , RT and Bollerslev , T . 1989 . The message in daily foreign exchange rates: a conditional variance tale . Journal of Business and Economic Statistics , 7 : 297 – 305 .
  • Bollen , B and Inder , B . 2003 . A comparison of estimators daily realised volatility . Finance Letters , 1 : 29 – 34 .
  • Den Haan , WJ and Levin , AT . Robust covariance matrix estimation with data-dependent VAR prewhitening order . Discussion Paper 11, Department of Economics . San Diego : University of California .
  • Harvey , CR and Huang , RD . 1991 . Volatility in the foreign currency futures market . Review of Financial Studies , 4 : 543 – 69 .
  • Inclan , C and Tiao , GC . 1994 . Use of cumulative sums of squares for retrospective detection of changes of variance . Journal of the American Statistical Association , 89 : 913 – 23 .
  • Kokoszka , P and Leipus , R . 1998 . Change-point in the mean of dependent observations . Statistics and Probability Letters , 40 : 385 – 93 .
  • Kokoszka , P and Leipus , R . 2000 . Change-point estimation in ARCH models . Bernoulli , 6 : 513 – 39 .
  • Lavielle , M and Moulines , E . 2000 . Least-squares estimation of an unknown number of shifts in a time series . Journal of Times Series Analysis , 21 : 33 – 59 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.