DM Dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies
This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five-minute returns. Our modeling approach explicitly captures the pronounced intraday activity patterns, the strong macroeconomic announcement effects, and the volatility persistence, or ARCH...
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
1996
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
5783 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five-minute returns. Our modeling approach explicitly captures the pronounced intraday activity patterns, the strong macroeconomic announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns. The different features are separately quantified and shown, in conjunction, to account for a substantial fraction of the realized return variability, both at the intradaily and daily levels. Moreover, we demonstrate how the high frequency returns, when properly modeled, constitute an extremely valuable and vastly underutilized resource for better understanding the volatility dynamics at the daily or lower frequencies. |
| Physical Description: | 33, [34] S. graph. Darst. |
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MARC
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| id | DE-604.BV011215157 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:05:56Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007523793 |
| oclc_num | 35839046 |
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| owner | DE-19 DE-BY-UBM DE-521 |
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| physical | 33, [34] S. graph. Darst. |
| publishDate | 1996 |
| publishDateSearch | 1996 |
| publishDateSort | 1996 |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Andersen, Torben Verfasser (DE-588)128603259 aut DM Dollar volatility intraday activity patterns, macroeconomic announcements, and longer run dependencies Torben G. Andersen ; Tim Bollerslev Cambridge, Mass. 1996 33, [34] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5783 This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five-minute returns. Our modeling approach explicitly captures the pronounced intraday activity patterns, the strong macroeconomic announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns. The different features are separately quantified and shown, in conjunction, to account for a substantial fraction of the realized return variability, both at the intradaily and daily levels. Moreover, we demonstrate how the high frequency returns, when properly modeled, constitute an extremely valuable and vastly underutilized resource for better understanding the volatility dynamics at the daily or lower frequencies. Dollar, American Foreign exchange market Foreign exchange rates Mark, German Bollerslev, Tim 1958- Verfasser (DE-588)128603593 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5783 (DE-604)BV002801238 5783 http://papers.nber.org/papers/w5783.pdf kostenfrei Volltext |
| spellingShingle | Andersen, Torben Bollerslev, Tim 1958- DM Dollar volatility intraday activity patterns, macroeconomic announcements, and longer run dependencies National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Dollar, American Foreign exchange market Foreign exchange rates Mark, German |
| title | DM Dollar volatility intraday activity patterns, macroeconomic announcements, and longer run dependencies |
| title_auth | DM Dollar volatility intraday activity patterns, macroeconomic announcements, and longer run dependencies |
| title_exact_search | DM Dollar volatility intraday activity patterns, macroeconomic announcements, and longer run dependencies |
| title_full | DM Dollar volatility intraday activity patterns, macroeconomic announcements, and longer run dependencies Torben G. Andersen ; Tim Bollerslev |
| title_fullStr | DM Dollar volatility intraday activity patterns, macroeconomic announcements, and longer run dependencies Torben G. Andersen ; Tim Bollerslev |
| title_full_unstemmed | DM Dollar volatility intraday activity patterns, macroeconomic announcements, and longer run dependencies Torben G. Andersen ; Tim Bollerslev |
| title_short | DM Dollar volatility |
| title_sort | dm dollar volatility intraday activity patterns macroeconomic announcements and longer run dependencies |
| title_sub | intraday activity patterns, macroeconomic announcements, and longer run dependencies |
| topic | Dollar, American Foreign exchange market Foreign exchange rates Mark, German |
| topic_facet | Dollar, American Foreign exchange market Foreign exchange rates Mark, German |
| url | http://papers.nber.org/papers/w5783.pdf |
| volume_link | (DE-604)BV002801238 |
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