caa a22 4500 467895848 CHVBK 20180406152804.0 cr unu---uuuuu 170328e20060101xx s 000 0 eng 10.1007/s00181-005-0005-x doi (NATIONALLICENCE)springer-10.1007/s00181-005-0005-x Exchange rate volatility and the mixture of distribution hypothesis [Elektronische Daten] [Luc Bauwens, Dagfinn Rime, Genaro Sucarrat] This study sheds new light on the mixture of distribution hypothesis by means of a study of the weekly exchange rate volatility of the Norwegian krone. In line with other studies we find that the impact of information arrival on exchange rate volatility is positive and statistically significant, and that the hypothesis that an increase in the number of traders reduces exchange rate volatility is not supported. The novelties of our study consist in documenting that the positive impact of information arrival on volatility is relatively stable across three different exchange rate regimes, and in that the impact is relatively similar for both weekly volatility and weekly realised volatility. It is not given that the former should be the case since exchange rate stabilisation was actively pursued by the central bank in parts of the study period. We also report a case in which undesirable residual properties attained within traditional frameworks are easily removed by applying the log-transformation on volatilities. Springer-Verlag, 2005 Exchange rate volatility nationallicence Mixture of distribution hypothesis nationallicence F31 nationallicence Bauwens Luc CORE and Department of Economics, Université catholique de Louvain, Louvain-la-Nueve, Belgium aut Rime Dagfinn Norges Bank, Oslo, Norway aut Sucarrat Genaro CORE and Department of Economics, Université catholique de Louvain, Louvain-la-Nueve, Belgium aut Empirical Economics Physica-Verlag 30/4(2006-01-01), 889-911 0377-7332 30:4<889 2006 30 181 https://doi.org/10.1007/s00181-005-0005-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00181-005-0005-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Bauwens Luc CORE and Department of Economics, Université catholique de Louvain, Louvain-la-Nueve, Belgium aut NATIONALLICENCE 700 1- Rime Dagfinn Norges Bank, Oslo, Norway aut NATIONALLICENCE 700 1- Sucarrat Genaro CORE and Department of Economics, Université catholique de Louvain, Louvain-la-Nueve, Belgium aut NATIONALLICENCE 773 0- Empirical Economics Physica-Verlag 30/4(2006-01-01), 889-911 0377-7332 30:4<889 2006 30 181 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer