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 …

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

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

common factors. This paper identifies the euro/dollar, Swiss-franc/dollar and yen/dollar exchange rates as empirical …

traditional portfolio objectives as debt to reserve ratios decrease. We empirically estimate optimal dollar and euro shares for 24 … reserve ratios, introducing transactions demand has a elatively modest effect. We also find that euro and dollar bonds act as … sudden stops in Asia and Latin America, while the euro is a better hedge for sudden stops in Emerging Europe. We reproduce …

. -- High frequency data ; long memory ; volatility persistence ; structural breaks …