BEINE, Michel; LAURENT, Sébastien; PALM, Franz - Center for Operations Research and Econometrics (CORE), … - 2004
using daily realized moments of exchange rate returns (obtained from intraday data) for the period 1989-2001. Event studies … in terms of the realized moments for the intervention day, the days preceding and following the intervention day … illustrate the shape of this impact. Rolling regressions results for an ARFIMA model for realized moments are used to measure the …