Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies
Publication
, Journal Article
Andersen, TG; Bollerslev, T
Published in: Journal of Finance
January 1, 1998
This paper provides a detailed characterization of the volatility in the deutsche mark-dollar foreign exchange market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the results for the interpretation of the fundamental "driving forces" behind the volatility process is also discussed.
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Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 1998
Volume
53
Issue
1
Start / End Page
219 / 265
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
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Chicago
ICMJE
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Andersen, T. G., & Bollerslev, T. (1998). Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies. Journal of Finance, 53(1), 219–265. https://doi.org/10.1111/0022-1082.85732
Andersen, T. G., and T. Bollerslev. “Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies.” Journal of Finance 53, no. 1 (January 1, 1998): 219–65. https://doi.org/10.1111/0022-1082.85732.
Andersen TG, Bollerslev T. Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies. Journal of Finance. 1998 Jan 1;53(1):219–65.
Andersen, T. G., and T. Bollerslev. “Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies.” Journal of Finance, vol. 53, no. 1, Jan. 1998, pp. 219–65. Scopus, doi:10.1111/0022-1082.85732.
Andersen TG, Bollerslev T. Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies. Journal of Finance. 1998 Jan 1;53(1):219–265.
Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 1998
Volume
53
Issue
1
Start / End Page
219 / 265
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment