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 …

Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns … returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are … unexpectedly volatile. Volatility innovations during relatively tranquil periods are largely unrewarded in the market, whereas …

This paper investigates possible drivers of volatility in the South African rand since the onset of the global … financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global … market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market …

foreign exchange returns are significantly related to realized volatility, which reflects risk attributable to order flow and …

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … franc and the Japanese yen vis-à-vis the US dollar before and after the introduction of the euro. Based on dynamic … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the …