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

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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

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  • Mokhtar Darmoul & Mokhtar Kouki, 2009. "Calendar effect and intraday volatility patterns of euro-dollar exchange rate: new evidence of Europe lunch period," Documents de travail du Centre d'Economie de la Sorbonne 09070, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    • Handle: RePEc:mse:cesdoc:09070
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    Keywords

    Business cycle; calendar effect; forex; exchange rate;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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