Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies  

Oleh:

Andersen, Torben G ; Bollerslev, Tim

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 53 no. 1 (Feb. 1998), page 219-265.
Topik: Deutsche Mark Dollar; volatility; Intraday patterns of activity; macroeconomic announcement; Foreign exchange market
Fulltext: p 219.pdf (791.98KB)

Isi artikel

This paper provides a detailed characterization of the volatility in the deutsche mark–dollar foreign exchange market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the results for the interpretation of the fundamental “driving forces” behind the volatility process is also discussed.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali