We test for reliable evidence of the day-of-the-week effect on both the mean and volatility for
the S&P/TSX Canadian return index. Unlike previous studies, we permit several …

In this study, we examined the volatility of Naira/US Dollar and Naira/UK Pound Sterling
exchange rates in Nigeria using GARCH model. The data on the monthly exchange rates …

Using the periodic GARCH (P-GARCH) model, this paper investigates the cause of the
volatility seasonality of intraday Taiwan dollar/US dollar (NTD/USD) exchange rate. We …

Modelling and forecasting the exchange rate volatility is a crucial area, as it has implications
for many issues in the arena of finance and economics. Generalised Autoregressive …

This file provides a bibliography of the literature on the Microstructure of Foreign Exchange
Markets. It includes clickable url-or doi-links 1 to most of the published papers, and even to …

In this paper, we demonstrate that the day-of-the-week effect in logarithmic changes in spot
CAD/USD foreign currency rates are not robust to a GARCH model with normal, student–t …

In this study, we examined the volatility of Naira/US Dollar and Naira/UK Pound Sterling
exchange rates in Nigeria using GARCH model. The data on the monthly exchange rates …

MODELLING HIGH FREQUENCY FINANCIAL TIME SEEUES WITH TRADING Shinn- Juh Lin
Graduate Program in Econornics Submitted in partial f Page 1 MODELLING HIGH FREQUENCY …