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behaviour bid-ask spreads Brazilian real Chicago Mercantile Exchange correlation between volumes daily data data on trading data set deﬁned as squared dev Min Max distributions hypothesis dollar exchange rates emerging market countries exchange rate changes exchange rate volatility exchange-traded expected volatility ﬁnancial markets ﬁndings ﬁrst ﬁtted foreign exchange markets futures contracts futures markets GARCH Grammatikos Graph Hartmann historical volatility Indian rupee Indonesian rupiah Israeli shekel January Jorion July linear time trend literature market liquidity Max Colombian peso Mean Std dev Memo item Mexican peso mixture of distributions Number of deals number of traders percentage changes period 1 Jan peso/dollar positive correlation reﬂect Sample period seven currencies Shekel signiﬁcantly different South African rand squared retums statistically signiﬁcant Summary statistics Table Tokyo interbank market Total volatility unexpected component unexpected trading volumes unexpected volumes volatility and bid-ask volatility and spreads volatility are positively volume volume volume volumes and volatility yen/dollar market