Exchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method

Quantitative Finance

Volumn 14, Issue 12, 2014, Pages 2093-2104

  Laakkonen, Helinä ^a  

^a BANK OF FINLAND   (Finland)

Author keywords

High frequency; Macro announcements; Seasonality; Volatility

Indexed keywords

EID: 84909961360     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2012.739727     Document Type: Article

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