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Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

  • Torben G. Andersen

    (J.L. Kellogg Graduate School of Management, Northwestern University,)

  • Tim Bollerslev

    (Department of Economics, University of Virginia)

This paper provides a detailed characterization of the volatility in the deutsche mark-dollar foreign exchange market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the results for the interpretation of the fundamental "driving forces" behind the volatility process is also discussed. Copyright The American Finance Association 1998.

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Article provided by American Finance Association in its journal The Journal of Finance.

Volume (Year): 53 (1998)
Issue (Month): 1 (02)
Pages: 219-265

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Handle: RePEc:bla:jfinan:v:53:y:1998:i:1:p:219-265
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