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 …

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