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News announcements, market activity and volatility in the Euro/Dollar foreign exchange market
- Publication Year :
- 2003
-
Abstract
- This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the pre-announcement periods, particularly before scheduled events. Market activity also significantly impacts return volatility as expected by the theoretical literature on order flow.
Details
- Database :
- OAIster
- Notes :
- English
- Publication Type :
- Electronic Resource
- Accession number :
- edsoai.on1130587264
- Document Type :
- Electronic Resource