Zhang, Guangfeng; Marsh, Ian; MacDonald, Ronald - In: Studies in Economics and Finance 33 (2016) 1, pp. 50-68
announcements and high-frequency trading data (German Deutsche Mark to US dollar, DEM/USD, from 1 May to 31August 1996) to GARCH … studies of examining exchange rates volatility, which is in line with literature that combine both macro and micro … fundamentals in examining exchange rates variation. Particularly, a key element of this study is to use a microstructure …