ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

Filtering intraday seasonality in volatility is crucial for using high frequency data in econometric analysis. This … paper studies the effects of filtering on statistical inference concerning the impact of news on exchange rate volatility …

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …

symmetric (sGARCH) and the asymmetric (GJR-GARCH and EGARCH) volatility models with the normal, the student t and the skewed … with the calendar effect dummies in the volatility model are not parsimonious. The net purchase/ sale of USD in a given …

dependency of the daily returns. The estimation results reflect that the long memory volatility dependency of the KRW-USD is …This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns …-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated …