that algorithmic traders withdrew liquidity and generated uninformative volatility in Swiss franc currency pairs, while …

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 …

(RBA) have had on the level and volatility of the Australian dollar exchange rate. First, using an event study we evaluate … Australian dollar. Second, we investigate the effects of RBA intervention policies on exchange rate volatility over the floating … volatility, which suggests that official intervention may have added to market uncertainty. Overall, the effects of RBA …

hours extensions on volatility. During the sample period, the Moscow Exchange extended trading hours three times for the … implementations, various measures of historical and realized volatility are calculated for 5- and 15-min intraday intervals spanning a … period of three months both prior to and following trading hours extensions. Besides historical volatility measures, we also …