search query: @author Sarno, L. / total: 5
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| Author: | Chowdhury, I. Sarno, L. |
| Title: | Time-varying volatility in the foreign exchange market: New evidence on its persistence and on currency spillovers |
| Journal: | Journal of Business Finance and Accounting
2004 : JUN/JUL, VOL. 31:5-6, p. 759-793 |
| Index terms: | Financial markets Foreign exchange market Trading Currency Volatility Models |
| Language: | eng |
| Abstract: | This paper examines empirically the volatility (hereafter as: vol.) of four major U.S. dollar spot exchange rates (here as: ex-r./ex-rs.) using intraday data over 40 trading (here as: trad.) days. Using multivariate stochastic vol. models, the degree of persistence of ex-r. volatility is investigated for data sampled at different frequencies and the role of vol. spillovers across ex-rs. It is found that the noise component of vol. 'aggregates out' very quickly, being dominated by the more persistent component of vol. for data sampled at 15minute or lower frequencies. The results also suggest that ex-r. vol. is very persistent and that crosscurrency spillovers are small. |
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