Volatility and jump with intraday periodicity and truncated power variation in Chinese yuan-US dollar exchange rates

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-03-08 DOI:10.1080/16081625.2024.2326408

Chae-Deug Yi

引用次数: 0

Abstract

This study analyzes the discrete jump volatility of the Chinese yuan/U.S. dollar exchange rate returns using high-frequency five-minute returns from June 2012 to April 2021. Using periodicity filte...

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人民币兑美元汇率的波动性和跳跃性与日内周期性和截断幂变性

本研究利用2012年6月至2021年4月的高频五分钟回报分析了人民币兑美元汇率回报的离散跳跃波动性。利用周期性滤波技术，研究了人民币兑美元汇率的离散跳跃波动性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.