Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies

Torben G. Andersen, Tim Bollerslev

Research output: Contribution to journalArticlepeer-review

561 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)219-265
Number of pages47
JournalJournal of Finance
Volume53
Issue number1
DOIs
StatePublished - Feb 1998

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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