Bubák, Vít; Žikeš, Filip - In: Czech Journal of Economics and Finance (Finance a uver) 59 (2009) 4, pp. 334-359
This paper investigates the behavior of the EUR/CZK, EUR/HUF and EUR/PLN spot exchange rates in the period 2002–2008, using 5-minute intraday data. The authors find that daily returns on the corresponding exchange rates scaled by model-free estimates of daily realized volatility are...