Calendar effect and intraday volatility patterns of euro-dollar exchange rate: new evidence of Europe lunch period

Mokhtar Darmoul () and Mokhtar Kouki ()
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Mokhtar Darmoul: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Mokhtar Kouki: LEGI - Laboratoire d'Économie et de Gestion Industrielle [Tunis] - Ecole Polytechnique de Tunisie - UCAR - Université de Carthage (Tunisie)

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Abstract: In this article, we study the pattern as well as the systematic features of the calendar effect perceived in the intraday volatility of the foreign exchange rate of the euro vis-à-vis the dollar at five minutes of intervals. We obtain by the means of this analysis a differentiation of these effects through two types of essential filters in the treatment of the returns, while eliminating the Flexible Form of Fourrier FFF xhich condemns the structures of response of the shocks to take an exponential form. Thus, we came out from new features of the volatility of foreign exchange rate euro-dollar, such as the lunch period in Europe.

Keywords: Business cycle; calendar effect; exchange rate.; taux de change; Cycle commercial; effet calendrier; forex; taux de change. (search for similar items in EconPapers)
Date: 2009-08
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Published in 2009

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