BAUWENS, Luc; BEN OMRANE, Walid; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 2003
This paper deals with 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 postannouncement reactions. Using high-frequency intraday data and within the framework of...