announcements , market activity and volatility in the Euro / Dollar foreign exchange market

نویسندگان

  • Walid Ben Omrane
  • Luc Bauwens
  • Pierre Giot
چکیده

This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the pre-announcement periods, particularly before scheduled events. Market activity also significantly impacts return volatility as expected by the theoretical literature on order flow.

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تاریخ انتشار 2003