INTRADAY AND INTER-MARKET VOLATILITY IN FOREIGN-EXCHANGE RATES
成果类型：
Article
署名作者：
BAILLIE, RT; BOLLERSLEV, T
署名单位：
Northwestern University
刊物名称：
REVIEW OF ECONOMIC STUDIES
ISSN/ISSBN：
0034-6527
DOI：
10.2307/2298012
发表日期：
1991
页码：
565-585
关键词：
Time-series regression
martingale hypothesis
conditional-variance
UNITED-STATES
return
heteroscedasticity
models
tests
heteroskedasticity
futures