Stabsseminar på fredag

Institutt for foretaksøkonomi har stabsseminar på fredag. Seminaret er ved Luc Bauwens, CORE, Belgia. Temaet for seminaret er News announcements, market activity and volatility in the euro/dollar foreign exchange market

14.04.2004 - Stig Nøra

Tid: Fredag 16. april klokken 12.15-13.30
Sted: Karl Borchs Auditorium

Abstract
We study the impact of nine categories of scheduled and unscheduled news
announcements on the euro/dollar return volatility. We highlight and
analyze the pre-announcement, contemporaneous and post-announcement
reactions. Using high-frequency intraday data and within the framework
of ARCH-type models, we show that volatility increases in the
pre-announcement periods, particularly before scheduled events. Market
activity also significantly impacts return volatility as expected by the
theoretical literature on the order flow.

Paper er tilgjengelig på: http://www.core.ucl.ac.be/econometrics/Bauwens/Papers/forex_jimf_final.pdf

Jarle Møen (59612)