Omrane, Walid Ben; Hafner, Christian M. - In: International Econometric Review (IER) 1 (2009) 1, pp. 50-62
We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the...