the volatility dynamics for SF/USD and USD/GBP. We find that both series are highly persistent, and in particular, USD …. However, the estimation results of the simple semi-parametric procedure (QMLE) are virtually identical to the results of the …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …

volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods … by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be …-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the …

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 …

foreign exchange returns are significantly related to realized volatility, which reflects risk attributable to order flow and …

volatility (MSV) and the multivariate conditional correlation GARCH (CC-MGARCH) framework to investigate the volatility … major findings. First, the volatility in each market is very persistent. It varies over time in a predictable manner …, conditioned on the past information. Second, the volatility in the oil market Granger-causes the volatility in the FX markets but …