Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/USD, JPY/USD, and GBP/USD. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility...

Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...

The thesis consists of empirical studies on currency market as well as US equity market. A new volatility estimator using wavelets is proposed and used to analyze financial markets. Currency tick data are analyzed to determine the effects of economic releases on foreign exchange market....

Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...