empirically show that intraday volatility clusters increase as we approach the time of the releases, and decay exponentially after … scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we …. Finally, we propose a wavelet volatility estimator which is not only more efficient than a range estimator that is commonly …

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange …

fluctuations of the yen/dollar exchange rate. The paper shows first that these models would have exploited exchange rate trends …

The paper investigates the profitability of 1,024 moving average and momentum models and their components in the yen … than single profits. At the same time, the size of the single profits is on average much higher than the size of single …

fluctuations of the yen-dollar exchange rate. I show first that these models would have exploited exchange rate trends quite …

moving the US dollar, yen and euro in the intended direction at horizons of up to three months after G7 meetings, but not at …

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal …

In this paper we analyzed the violations of UIP for the Swiss Franc against the Dollar, the Euro, the Yen, the Pound … the five currencies for the 1999 – 2008 sample. Unfortunately our attempt to locate the time of change and the currencies … the Euro and the Dollar, the two most important foreign currencies from a Swiss perspective. …

in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen …, the results indicate that the euro is the dominant currency, as the implied volatility term structure of the euro is found … to affect all the other volatility term structures, while the term structure of the euro appears to be virtually …

yield that periods of strong comovements of the US dollar and Pound sterling based upon the Euro prevail during the 1990s … and periods of comovements of Euro and Pound sterling denominated in US dollar prevail since the introduction of the Euro …