Mokhtar, Darmoul - Maison des Sciences Économiques, Université Paris 1 … - 2006
In this paper, we investigate the impact of monetary policy signals stemming from the ECB Council and the FOMC on the … intradaily Euro-dollar volatility, using high-frequency data (five minutes frequency). For that, we estimate an AR(1)-GARCH(1 … a dissymmetry between the effect of the ECB and Federal Reserve signals on the exchange rate volatility. …