The extent to which economic policy uncertainty (EPU) amplifies exchange rate volatility has been an important research … imparts an effect on exchange rate volatility either contemporaneously, or with a one month lag. The use of monthly frequency … contributes to exchange rate volatility much more quickly than monthly data can detect. I also find that non-policy market …

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 …

In this paper, we study how the volatility of both realized and expected macroeconomic variables relates to the … variation in exchange rate volatility through the prism of the Great Moderation hypothesis. We find significant heterogeneity in … exchange rate trend volatility across currency pairs despite decreases in the volatility of expected future interest rate …

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 …

traditional currency risk factors, liquidity and market volatility variables, and transaction costs. Finally, the explanatory …