proxies for market volatility and liquidity. We document that the (Swiss) franc and Japanese yen appreciate against the US …We study high-frequency exchange rates over 1993-2008. Based on the recent literature on volatility and liquidity risk … dollar when US stock prices decrease and US bond prices and FX volatility increase. These safe haven properties materialise …

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 …

currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … fundamental determinants. We therefore address the question of whether a supposed safe haven currency only appreciates in times of … crises because carry trades are unwound, in which the corresponding currency has served as funding currency, or whether it …

currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … fundamental determinants. We therefore address the question of whether a supposed safe haven currency only appreciates in times of … crises because carry trades are unwound, in which the corresponding currency has served as funding currency, or whether it …

The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange …

currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … fundamental determinants. We therefore address the question of whether a supposed safe haven currency only appreciates in times of … crises because carry trades are unwound, in which the corresponding currency has served as funding currency, or whether it …

currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … fundamental determinants. We therefore address the question of whether a supposed safe haven currency only appreciates in times of … crises because carry trades are unwound, in which the corresponding currency has served as funding currency, or whether it …