Evidence on volatility spillovers in the interwar floating exchange rate period based on high/low prices

David Byers and David Peel

Applied Economics Letters, 1995, vol. 2, issue 10, 394-396

Abstract: Evidence of volatility spillovers between four foreign exchange rates is examined in the interwar floating exchange rate period using daily high and low prices rather than closing prices. It is found that volatility is highly persistent and that spillovers occur.

Date: 1995
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DOI: 10.1080/758518998

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