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Calendar effect and intraday volatility patterns of euro-dollar exchange rate : new evidence of Europe lunch period

Author

Listed:
  • Mokhtar Darmoul

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Mokhtar Kouki

    (LEGI - Laboratoire d'Économie et de Gestion Industrielle [Tunis] - Ecole Polytechnique de Tunisie - UCAR - Université de Carthage (Tunisie))

Abstract

In this article, we study the pattern as well as the systematic features of the calendar effect perceived in the intraday volatility of the foreign exchange rate of the euro vis-à-vis the dollar at five minutes of intervals. We obtain by the means of this analysis a differentiation of these effects through two types of essential filters in the treatment of the returns, while eliminating the Flexible Form of Fourrier FFF xhich condemns the structures of response of the shocks to take an exponential form. Thus, we came out from new features of the volatility of foreign exchange rate euro-dollar, such as the lunch period in Europe.

Suggested Citation

  • Mokhtar Darmoul & Mokhtar Kouki, 2009. "Calendar effect and intraday volatility patterns of euro-dollar exchange rate : new evidence of Europe lunch period," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00429759, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00429759
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00429759
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