Calendar effect and intraday volatility patterns of euro-dollar exchange rate: new evidence of Europe lunch period.
Year of publication: |
2009-08
|
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Authors: | Darmoul, Mokhtar ; Kouki, Mokhtar |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Business cycle | calendar effect | forex | exchange rate |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Notes: | 29 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; E32 - Business Fluctuations; Cycles ; F31 - Foreign Exchange ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets |
Source: |
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Darmoul, Mokhtar, (2009)
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