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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

Dans cet article, nous étudions le comportement ainsi que les caractéristiques systématiques de l'effet calendrier per-us dans la volatilité du taux de change intrajournalière de l'euro face au dollar à cinq minutes d'intervalles. Nous obtenons par le biais de cette analyse une différenciation de ces effets à travers deux types de filtres essentiels dans le traitement des rendements, tout en éliminant la forme de fourrier FFF qui condamne les structures de persistance des chocs à prendre une forme exponentielle. Ainsi, nous avons ressorti de nouvelles caractéristiques de la volatilité du taux de change euro-dollar, telle que l'heure de déjeuner en 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," Post-Print hal-00647398, HAL.
    • Handle: RePEc:hal:journl:hal-00647398
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