Analysis of the intraday effects of economic releases on the currency market

Journal of International Money and Finance

Volumn 30, Issue 4, 2011, Pages 692-707

  Sun, Edward W ^a,b   Rezania, Omid ^b   Rachev, Svetlozar T ^b,c,d   Fabozzi, Frank J ^e  

^a KEDGE BUSINESS SCHOOL   (France)

^b KARLSRUHE INSTITUTE OF TECHNOLOGY   (Germany)

^c STONY BROOK UNIVERSITY   (United States)

^d FinAnalytica ^*  (United States)

^e YALE UNIVERSITY   (United States)

Author keywords

Economic release; Foreign exchange; High frequency; Volatility estimation; Wavelet

Indexed keywords

EID: 79955507173     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2011.03.001     Document Type: Article

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