Boubel, Aurélie; Laurent, Sébastien; Lecourt, Christelle - In: Revue économique 52 (2001) 2, pp. 353-370
In this paper, we investigate the impact of monetary policy signals stemming from the Bundesbank Council and the FOMC on the intradaily Deutsche Mark-dollar volatility (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure depending on...
