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.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Laakkonen, Helinä
  • Bank of Finland

Entstanden

  • 2007

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