Intervention of the Bank of Japan in Foreign Exchange Market and Its Effects on Volatility of Returns
広島大学経済学研究 Issue 25
Page 81-100
published_at 2008-02-28
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この文献の参照には次のURLをご利用ください : https://doi.org/10.15027/23277
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Title ( eng ) |
Intervention of the Bank of Japan in Foreign Exchange Market and Its Effects on Volatility of Returns
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Creator |
Lu Xinhong
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Source Title |
広島大学経済学研究
The Economic Studies
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Issue | 25 |
Start Page | 81 |
End Page | 100 |
Abstract |
In this article, we perform several tests to determine whether the intervention of the Bank of Japan has an asymmetric effect through GARCH type models. Furthermore, we use realized volatility calculated by high-frequency exchange rate data to check the adequacy of the estimated volatility from GARCH type models.
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Keywords |
Intervention
Realized volatility
GARCH type models
High-frequency exchange rate data
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NDC |
Economics [ 330 ]
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Language |
eng
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Resource Type | departmental bulletin paper |
Publisher |
広島大学経済学会
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Date of Issued | 2008-02-28 |
Publish Type | Version of Record |
Access Rights | open access |
Source Identifier |
[ISSN] 0288-2434
[NCID] AN1023014X
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