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: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr
Mokhtar Kouki: LEGI-Ecole Polytechnique de Tunis

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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; forex; exchange rate (search for similar items in EconPapers)
JEL-codes: C15 E32 F31 G14 G15 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2009-08
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:09070

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