Frömmel, Michael; Kadioglu, Eyup - In: Financial innovation : FIN 9 (2023) 1, pp. 1-23
Using transaction-level tick-by-tick data of same- and next-day settlement of the Russian Ruble versus the US Dollar exchange rate (RUB/USD) traded on the Moscow Exchange Market during the period 2005-2013, we analyze the impact of trading hours extensions on volatility. During the sample...
