The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
Abstract
This paper provides a detailed characterization of the volatility in the deutsche mark–dollar foreign exchange market using an annual sample of five‐minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the results for the interpretation of the fundamental “driving forces” behind the volatility process is also discussed.
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Citations
Cites
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Cited by
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Andersen, T. G., & Bollerslev, T. (1998) · International Economic Review · doi:10.2307/2527343 · Cited by 3,375
Self-citationThe Distribution of Realized Exchange Rate Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
Self-citationDid Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
Kilian, L., & Hicks, B. (2013) · Journal of Forecasting · doi:10.1002/for.2243 · Cited by 371
Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index
Dutta, A. (2017) · Journal of Cleaner Production · doi:10.1016/j.jclepro.2017.07.050 · Cited by 325
Price discovery and volatility spillovers in the DJIA index and futures markets
Tse, Y. (1999) · Journal of Futures Markets · doi:10.1002/(sici)1096-9934(199912)19:8 · Cited by 284
Metadata
- Authors
- Andersen, T. G., & Bollerslev, T.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1998-02
- Volume
- 53
- Issue
- 1
- Pages
- 219-265
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3123217382
- Cited by
- 1,185
- References
- 1
- FWCI
- 59.86
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. https://app.cochat.ai/papers/10.1111/0022-1082.85732
- The paper
- Andersen, T. G., & Bollerslev, T. (1998). Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. The Journal of Finance. https://doi.org/10.1111/0022-1082.85732
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
