Exchange rate volatility, macro announcements and the choice of intraday sasonality filtering method

Show full item record

Title: Exchange rate volatility, macro announcements and the choice of intraday sasonality filtering method
Author: Laakkonen, Helinä
Organization: Suomen Pankki
Series: Bank of Finland Research Discussion Papers
Series number: 23/2007
Year of publication: 2007
Publication date: 5.8.2007
Published in: Published in Quantitative Finance, Volume 14, Issue 12, 13 December 2014: 2093-2104
Pages: 30 s.
Keywords: menetelmät; valuuttakurssit; volatiliteetti; euro; informaatio; vaikutukset; valuuttamarkkinat; uutiset; USD;
JEL: C22; C49; C52; E44
Abstract: 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. The properties of different methods are studied using a 5-minute frequency USD/EUR data set and simulated returns. The simulation results suggest that all the methods tend to produce downward-biased estimates of news coefficients, some more than others. The study supports the Flexible Fourier Form method as the best for seasonality filtering. Keywords: high-frequency, volatility, macro announcements, seasonality JEL classification numbers: C22, C49, C52, E44
Rights: https://helda.helsinki.fi/bof/copyright


Files in this item

Total number of downloads: Loading...

Files Size Format View
155353.pdf 789.5Kb PDF View/Open

This item appears in the following Collection(s)

Show full item record