News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market

By Luc Bauwens, Walid Ben Omrane, P. Giot. 2005

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News announcements and price discovery in foreign exchange spot and futures markets (2010, background): “1 For example,Andersen et al. (2003) and Bauwens et al. (2005) study announcement effects on the spot FX market volatility.”
When do central bank interventions influence intra-daily and longer-term exchange rate movements? (2006, background): “Bonser-Neal and Tanner (1996), Dominguez (1998), Galati et al. (2002), and Frenkel et al. (2003) find that interventions lead to increases in implied volatilities measured using options data.”