Twice a day or continuously? Observation frequency and inference on foreign exchange volatility persistence |
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Authors: | Michael Melvin Bettina Peiers |
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Institution: | (1) Arizona State University and American Express, USA |
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Abstract: | This paper examines how observation frequency alters inference on cross-locational volatility dependencies in the foreign exchange market. When volatility proxies are based on tick-by-tick exchange rate quotes, this paper finds evidence of statistically significant own-region volatility persistence as well as symmetric interregional dependence. In addition, this paper detects strong day-of-the-week effects, with Mondays displaying the lowest volatility. These results differ from previous studies which based volatility estimates on only two daily observations per region. |
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