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

被引：4
|
作者：
Laakkonen, Helina [1 ]
机构：
[1] Bank Finland, Monetary Policy & Res Dept, Helsinki 00101, Finland
来源：
QUANTITATIVE FINANCE | 2014年 / 14卷 / 12期
基金：
芬兰科学院;
关键词：
E44; C49; C52; C22; High-frequency; Volatility; Seasonality; Macro announcements; TIME PRICE DISCOVERY; FOREIGN-EXCHANGE; FREQUENCY; MARKETS; MODEL; RUN;
D O I：
10.1080/14697688.2012.739727
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Filtering out the intraday periodicity of volatility is crucial for using high frequency data in econometric analysis. This paper studies the effects of filtering on statistical inference as regards the impact of news on exchange rate volatility. The properties of different methods are studied using a five-minute frequency EUR/USD data set and simulated returns. The simulation results suggest that all the methods tend to produce downward-biased estimates of news coefficients, some more biased than others. The study supports the Flexible Fourier Form method as the best for seasonality filtering.
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页码：2093 / 2104
页数：12
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