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

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …

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 …

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

Bank of Japan (BoJ) and exchange rate volatility. We use official intervention data for the period 1993-2000 that were … released only recently by the BoJ and find that the interventions of the BoJ increased the volatility of the yen/U.S. dollar … press, were positively correlated with exchange rate volatility. …

relationship between currency futures trading activity and spot volatility. Moreover, in the case of four out of the total of five … currencies discussed in this paper, futures trading activity adds significantly to spot volatility. …

direction. Interventions increase volatility in the short run as they are regarded as information; but they can reduce … volatility overall. Ways of transmission may reach beyond the signaling channel and also include the portfolio balance and a …