This paper studies empirically the effect of decimalization on volatility and market microstructure noise. We apply several non-parametric estimators in order to accurately measure volatility and market microstructure noise variance before and after the final stage of decimalization which, on...

The high-frequency analysis of foreign exchange dynamics is helpful in order to better identify the impact of central bank interventions. Evidence robustly shows that interventions do indeed move the exchange rate level in the desired direction. Interventions increase volatility in the short run...