This paper addresses the central open issue in exchange rate economics: the link between exchange rate volatility and economic fundamentals. In the framework of a multivariate volatility model that allows for volatility spillover, we develop a new impulse response analysis to estimate and...

We investigate the existence of chart patterns in the Euro/Dollar intra-daily foreign exchange market. We use two identification methods of the different chart patterns: one built on close prices only, and one based on low and high prices. We look for twelve types of chart patterns and we study...

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 post-announcement reactions. Using high-frequency intraday data and within the framework of...

This study investigates the extent to which intra-day jumps and co-jumps in cryptocurrency markets stem from the release of macroeconomic news from the U.S., Germany and Japan. Using 5-min frequency prices for Bitcoin and Ethereum quoted against the U.S. dollar over the 2016-2019 period, we find...

We design and implement optimal foreign exchange portfolio allocations. An optimal allocation maximizes the expected return subject to a Value-at-Risk (VaR) constraint. Based on intradaily data, the optimization procedure is carried out at regular time intervals. For the estimation of the...

We examine an unusual episode in the behavior of the euro, pound and yen exchange rate markets when the dollar appreciated (depreciated) against the three major currencies, in response to unfavorable (favorable) US growth news during the global financial crisis. Contrary to the previous...

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 post-announcement reactions. Using high-frequency intraday data and within the framework of...