Evans, Kevin P.; Speight, Alan E.H. - In: Research in International Business and Finance 24 (2010) 1, pp. 82-101
This paper provides an analysis of intraday volatility using 5-min returns for Euro-Dollar, Euro-Sterling and Euro-Yen exchange rates, and therefore a new market setting. This includes a comparison of the performance of the Fourier flexible form (FFF) intraday volatility filter with an...
