Show simple item record Bollerslev, T Melvin, M 2010-03-09T15:33:53Z 1994-01-01
dc.identifier.citation Journal of International Economics, 1994, 36 (3-4), pp. 355 - 372
dc.identifier.issn 0022-1996
dc.description.abstract Consistent with the implications from a simple asymmetric information model for the bid-ask spread, we present empirical evidence that the size of the bid-ask spread in the foreign exchange market is positively related to the underlying exchange rate uncertainty. The estimation results are based on an ordered probit analysis that captures the discreteness in the spread distribution, with the uncertainty of the spot exchange rate being quantified through a GARCH type model. The data sets consists of more than 300,000 continuously recorded Deutschemark/dollar quotes over the period from April 1989 to June 1989. © 1994.
dc.format.extent 355 - 372
dc.language.iso en_US
dc.relation.ispartof Journal of International Economics
dc.relation.isversionof 10.1016/0022-1996(94)90008-6
dc.title Bid-ask spreads and volatility in the foreign exchange market. An empirical analysis
dc.type Journal Article
dc.department Economics
pubs.issue 3-4
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 36

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