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Title: The Japan yen foreign exchange volatility redux ; a dual relationship
Authors: Chionis, Dionysios P.
McDonald, Ronald
Keywords: Yen, Japanese
Foreign exchange rates
GARCH model
Issue Date: 1999
Publisher: University of Piraeus. International Strategic Management Association
Citation: Chionis, D. P., & McDonald, R. (1999). The Japan yen foreign exchange volatility redux ; a dual relationship. European Research Studies Journal, 2(1-4), 3-14.
Abstract: This paper investigates the relationship between real volume data and volatility of the JY/USD exchange rate. We decompose the real volume data in expected and unexpected volume in order to investigate the time series properties and the unexpected/ volume-volatility relationship. There are a number of interesting implications arising from the empirical finding of this work. It seems that the real volume data have different behaviour and the time series properties compared with the wide used proxy of future volume data.
ISSN: 11082976
Appears in Collections:European Research Studies Journal, Volume 2, Issue 1-4

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