The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction … data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are … realized volatility can be predicted by a simple linear model based on the components identified. It is shown how the …

This paper examines the impacts of U.S. conventional and unconventional monetary policy announcements on the volatility … in the analysis. Results show that the exchange rate volatility increases significantly in the narrow window before and … after the announcements under conventional monetary policy regime. The increase in the volatility is even greater during the …