This paper examines volatility in UK Long Gilt and Short Sterling futures over several intra-day frequencies. Initial GARCH model estimates are found to exhibit remaining residual structure and to be inconsistent with theoretical temporal aggregation results for all frequencies other than the...

This paper considers a 19-month sample of 5-min returns for three euro exchange rates, and provides an analysis of the news impact effects associated with the unexpected component of a wide range of international macroeconomic announcements. Our findings reveal that US news relating to leading...

This paper uses three euro exchange rates - the US dollar, sterling and yen - to test for the presence of volatility spillovers and time-varying correlations using the realised variance approach, which has significant advantages over the multivariate-GARCH methodology. Our results suggest that...