Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212081 
Year of Publication: 
2007
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 23/2007
Publisher: 
Bank of Finland, Helsinki
Abstract: 
Filtering intraday seasonality in volatility is crucial for using high frequency data in econometric analysis. This paper studies the effects of filtering on statistical inference concerning the impact of news on exchange rate volatility. The properties of different methods are studied using a 5-minute frequency USD/EUR data set and simulated returns. The simulation results suggest that all the methods tend to produce downward-biased estimates of news coefficients, some more than others. The study supports the Flexible Fourier Form method as the best for seasonality filtering.
Subjects: 
high-frequency
volatility
macro announcements
seasonality
JEL: 
C22
C49
C52
E44
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-395-7
Document Type: 
Working Paper

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