ABSTRACT

This article extends the literature on geographic (heat waves) and intertemporal (meteor showers) foreign exchange volatility transmission to characterize the role of jumps and cross-rate propagation. We employ multivariate heterogenous autoregressive (HAR) models to capture the quasi-long memory properties of volatility and both Shapley–Owen R²’s and portfolio optimization exercises to quantify the contributions of information sets. We conclude that meteor showers (MS) are substantially more influential than heat waves (HW), that jumps play a modest but significant role in volatility transmission, that cross-market propagation of volatility is important, and that allowing for differential HW and MS effects and differential parameters across intraday market segments is valuable. Finally, we illustrate what types of news weaken or strengthen heat wave, meteor shower, continuous, and jump patterns with sensitivity analysis. Supplementary materials for this article are available online.

摘要

本文扩展了有关地理（热波）和跨期（流星雨）外汇波动率传递的文献，以描述跳跃和交叉汇率传播的作用。我们采用多元异质自回归（HAR）模型来捕获波动率和Shapley-Owen R ²的准长记忆特性和投资组合优化练习，以量化信息集的贡献。我们得出结论，流星雨（MS）比热浪（HW）更具影响力，跳变在波动率传递中起适度但重要的作用，波动率的跨市场传播很重要，并且允许不同的HW和MS效应盘中细分市场中的不同参数很有价值。最后，我们通过敏感性分析说明了哪种类型的新闻减弱或增强了热浪，流星雨，连续和跳跃模式。可在线获得本文的补充材料。