Arbeitspapier
Exchange rate volatility, macro announcements and the choice of intraday sasonality filtering method
Filtering intraday seasonality in volatility is crucial for using high frequency data in econometric analysis. This paper studies the effects of filtering on statistical inference concerning the impact of news on exchange rate volatility. The properties of different methods are studied using a 5-minute frequency USD/EUR data set and simulated returns. The simulation results suggest that all the methods tend to produce downward-biased estimates of news coefficients, some more than others. The study supports the Flexible Fourier Form method as the best for seasonality filtering.
- Sprache
-
Englisch
- ISBN
-
978-952-462-395-7
- Erschienen in
-
Series: Bank of Finland Research Discussion Papers ; No. 23/2007
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Econometric and Statistical Methods: Special Topics: Other
Model Evaluation, Validation, and Selection
Financial Markets and the Macroeconomy
- Thema
-
high-frequency
volatility
macro announcements
seasonality
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Laakkonen, Helinä
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Laakkonen, Helinä
- Bank of Finland
Entstanden
- 2007
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