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The Japan Yen Foreign Exchange Volatility Redux; A Dual Relationship

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  • Chionis, D. P.
  • McDonald, R.

Abstract

This paper investigates the relationship between real volume data and volatility of the JY/USD exchange rate. We decompose the real volume data in expected and unexpected volume in order to investigate the time series properties and the unexpected/ volume-volatility relationship. There are a number of interesting implications arising from the empirical finding of this work. It seems that the real volume data have different behaviour and the time series properties compared with the wide used proxy of future volume data.

Suggested Citation

  • Chionis, D. P. & McDonald, R., 1999. "The Japan Yen Foreign Exchange Volatility Redux; A Dual Relationship," European Research Studies Journal, European Research Studies Journal, vol. 0(1-4), pages 3-14, January -.
    • Handle: RePEc:ers:journl:v:ii:y:1999:i:1-4:p:3-14
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