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Luc Bauwens . Dagfinn Rime . Genaro Sucarrat Exchange rate volatility and the mixture of distribution hypothesis Abstract This study sheds new light on the mixture of distribution hypothesis by means of a study of the weekly exchange rate volatility of the Norwegian krone. In line with other studies we find that the impact of information arrival on exchange rate volatility is positive and statistically significant, and that the hypothesis that an increase in the number of traders reduces exchange rate volatility is not supported. The novelties of our study consist in documenting that the positive impact of information arrival on volatility is relatively stable across three different exchange rate regimes, and in that the impact is relatively similar for both weekly volatility and weekly realised volatility. It is not given that the former should be the case since exchange rate stabilisation was actively pursued by the central bank in parts of the study period. We also report a case in which undesirable residual properties attained within traditional frameworks are easily removed by applying the logtransformation on volatilities. Keywords Exchange rate volatility . Mixture of distribution hypothesis JEL Classification F31 1 Introduction If exchange rates walk randomly and if the number of steps depends positively on the number of information events, then exchange rate volatility over a given period L. Bauwens . G. Sucarrat (*) CORE and Department of Economics, Université catholique de Louvain, Louvain-la-Nueve, Belgium E-mail: sucarrat@core.ucl.ac.be, bauwens@core.ucl.ac.be, URL: http://www.core.ucl.ac.be/ ˜ sucarrat/index.html D. Rime Norges Bank, Oslo, Norway E-mail: dagfinn.rime@norges-bank.no
Page 1 and 2: High Frequency Financial Econometri
Page 3 and 4: Prof. Luc Bauwens CORE Voie du Roma
Page 5: vi Contents Intraday stock prices,
Page 8 and 9: 2 L. Bauwens et al. component nicel
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Page 22 and 23: 16 Table 3 ARMA-GARCH model of Δ q
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Asymmetries in bid and ask response
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Table 2 (continued) Equation Variab
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Table 5 (continued) Variable Ask Bi
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Stefan Frey . Joachim Grammig Liqui
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Table 4 (continued) Ticker α γ λ
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112 tionship that a trader who requ
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114 pirical research. 5 Using a uni
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116 price b t(v), as defined in Eq.
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118 (extreme) variations in the spr
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120 where ht ¼ ! þ Xq ut ¼ ffiff
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122 where tðrmm;tÞ ¼ ffiffiffiff
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124 Table 2 Estimation results at t
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126 risk for impatient traders, for
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128 nificance of the mean component
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130 Table 4 (continued) Frictionles
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Anthony D. Hall . Nikolaus Hautsch
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Order aggressiveness and order book
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Table 1 (continued) BHP NAB NCP TLS
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Table 5 (continued) AV 1 AV 2 AV 3
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168 Keywords Financial transaction
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170 JBX HAL Fig. 1 Histograms of th
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172 2 The hurdle approach to intege
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174 specify the parametric form of
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176 order serial correlation for pr
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Table 1 ML estimates of the logisti
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180 JBX HAL R. Liesenfeld et al. Fi
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182 JBX HAL Fig. 6 Autocorrelation
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184 Table 2 ML estimates of the GLA
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186 Easley and O’Hara (1992) prov
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188 Table 3 ML estimates of the log
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190 For this purpose, we use approp
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194 Fig. 12 QQ-Plot against std. no
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196 References R. Liesenfeld et al.
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Walid Ben Omrane . Hervé Van Oppen
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The performance analysis of chart p
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250 J. M. Rodríguez-Poo et al. (A.
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Anthony S. Tay . Christopher Ting I
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Table 3 (continued) Volume (percent
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Table A2 ISM • ✓ 10 min −0.09
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Table A4 Unemployment rate • ✓
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