High-Frequency Data and Volatility in Foreign-Exchange Rates

1 January 1996

journal article
Published by JSTOR in Journal of Business & Economic Statistics

Vol. 14 (1) , 45
https://doi.org/10.2307/1392098

Abstract

Exchange rates, like many other financial time series, display substantial heteroscedasticity. This poses obstacles in detecting trends and changes. Understandi...

Keywords

HETEROSCEDASTICITY
HIGH FREQUENCY
POSES
FREQUENCY DATA
SUBSTANTIAL
VOLATILITY IN FOREIGN
UNDERSTANDI
DATA AND VOLATILITY

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