We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

forecasts gain from conditioning on volatility. Empirical results support the view that the relationship of interest might be …

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the … volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian … crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the four currencies the volatility …

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

-entrance in January 2001 this paper develops a rigorous estimation procedure. The estimates provide statistical evidence of … increased central bank intervention activities in the run-up to the Greek EMU entrance. Thus the modelling and estimation …

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 …