search query: @author Koutmos, G. / total: 8
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| Author: | Kahya, E. Koutmos, G. Nuven, D. |
| Title: | Modeling volatility of foreign exchange price changes |
| Journal: | Managerial Finance
1994 : VOL. 20:5/6, p. 52-65 |
| Index terms: | FOREIGN EXCHANGE PRICES CHANGE |
| Language: | eng |
| Abstract: | This paper investigates the behavior of exchange rate volatility during appreciations and depreciations. Six US dollar exchange rates are investigated. In all instances the responce of volatility to exchange rate changes is asymmetric. For dollar exchange rates with repect to EMS currencies, volitility is higher during dollar deprecations, whereas, for non-EMS dollar exchange rates, volitility is hifher during dollar appreciations. In addition, there is evidence that exchange rate changes are related to volatility. |
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