empirically show that intraday volatility clusters increase as we approach the time of the releases, and decay exponentially after … scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we …. 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 …

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 … post- (pre-) euro period. The nature of crossmarket volatility spillovers is found to be bidirectional though, with the …

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long … memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the … corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal … data ; long memory ; volatility persistence ; structural breaks …