mean or the volatility - depends on both news announcements and order flow. We conclude that news on the EUR/HUF market are …

evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …

We consider the properties of three estimation methods for integrated volatility, i.e. realized volatility, the Fourier … generating mechanisms for the instantaneous volatility process, e.g. Ornstein-Uhlenbeck, long memory, and jump processes. The … volatility process. However, bid-ask bounce effects render realized volatility and especially the wavelet estimator less useful …

. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate … macroeconomic news effects on the foreign exchange market. We find evidence for non-linear regime switching between a high-volatility …, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to …

The application of the market microstructure theory to foreign exchange markets in the last few years has introduced a … data, but also at longer time horizons that are relevant for macro-economic analysis. Microstructure theory is thus …