✦ LIBER ✦
Foreign exchange futures volatility: Day-of-the-week, intraday, and maturity patterns in the presence of macroeconomic announcements
✍ Scribed by Han, Li-Ming; Kling, John L.; Sell, Clifford W.
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 450 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
Using standard deviations and numbers of price changes calculated from tick data for currency futures, this study finds strong day-of-theweek effects for both the Deutsche mark and Japanese yen, mild effects for the British pound, and no effects for the Canadian dollar after controlling for scheduled macroeconomic announcements and *Correspondence author, College of Business and Economics, Washington State University, Pullman, WA 99164-4746. We would like to thank Robert Webb (the editor) and two anonymous referees for helpful suggestions.