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Journal of Business & Economic Statistics Volume 38, 2020 - Issue 2
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Original Articles

The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited

Jérôme LahayeDepartment of Economics, Fordham University, 113 West 60th Street, New York, NY10023 ([email protected])
&
Christopher NeelyResearch Department, Federal Reserve Bank of St. Louis, St. Louis, MO63102 ([email protected])
Pages 410-427 | Received 01 Sep 2016, Published online: 09 Nov 2018

Citations (16)

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Read on this site (2)

Shuning Chen & Jianxin Wang. (2023) A new channel for global volatility propagation. The European Journal of Finance 0:0, pages 1-22.
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Fei Su & Lei Wang. (2020) Conditional Volatility Persistence and Realized Volatility Asymmetry: Evidence from the Chinese Stock Markets. Emerging Markets Finance and Trade 56:14, pages 3252-3269.
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Articles from other publishers (14)

Hui Qu, Tianyang Wang, Peng Shangguan & Mengying He. (2023) Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity. Journal of Futures Markets.
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Christina Sklibosios Nikitopoulos, Alice Carole Thomas & Jianxin Wang. (2023) The economic impact of daily volatility persistence on energy markets. Journal of Commodity Markets 30, pages 100285.
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Massimiliano Caporin & Syed Jawad Hussain Shahzad. (2023) Sign effects of volatility and jumps in forex markets and a reappraisal of meteor showers and heat waves. Finance Vol. 44:3, pages 154-198.
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Qing Liu, Mengxia Xu & Jinwu Xiong. (2023) Will a boom be followed by crash? A new systemic risk measure based on right-tail risk. Frontiers in Psychology 13.
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Weijia Peng & Chun Yao. (2022) Co-Jumps, Co-Jump Tests, and Volatility Forecasting: Monte Carlo and Empirical Evidence. Journal of Risk and Financial Management 15:8, pages 334.
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Deniz Erdemlioglu & Xiye Yang. (2022) News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach. Journal of Financial Econometrics.
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Fei Su, Xinyi Wang & Yulin Yuan. (2022) The intraday dynamics and intraday price discovery of bitcoin. Research in International Business and Finance 60, pages 101625.
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Jianxin Wang. (2022) Market distraction and near-zero daily volatility persistence. International Review of Financial Analysis 80, pages 102022.
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Fei Su. (2021) Conditional volatility persistence and volatility spillovers in the foreign exchange market. Research in International Business and Finance 55, pages 101312.
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Sullivan Hué, Christophe Hurlin, Christophe Pérignon & Sébastien Saurin. (2022) Explainable Performance. SSRN Electronic Journal.
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Jian-Xin Wang. (2021) Market Distraction and Near-Zero Volatility Persistence. SSRN Electronic Journal.
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Christina Sklibosios Nikitopoulos, Alice Thomas & Jian-Xin Wang. (2020) The Economic Impact of Volatility Persistence on Energy Markets. SSRN Electronic Journal.
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Shuning Chen & Jian-Xin Wang. (2020) Volatility Persistence as a New Channel for Global Impact on Local Volatility. SSRN Electronic Journal.
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Shuning Chen & Jian-Xin Wang. (2019) International Evidence on the Common Determinants of Volatility Persistence and Asymmetry. SSRN Electronic Journal.
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