Exchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method

DOI10.1080/14697688.2012.739727zbMath1402.62252OpenAlexW2065180514MaRDI QIDQ5247926

Helinä Laakkonen

Publication date: 27 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.739727

zbMATH Keywords

seasonalityvolatilityhigh-frequencymacro announcements

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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