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

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

Asia-Pacific Journal of Accounting & Economics 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

Asia-Pacific Journal of Accounting & Economics Multiple-

CiteScore

2.40

自引率

9.10%

发文量

期刊介绍： The Asia-Pacific Journal of Accounting & Economics (APJAE) is an international forum intended for theoretical and empirical research in all areas of economics and accounting in general. In particular, the journal encourages submissions in the following areas: Auditing, financial reporting, earnings management, financial analysts, the role of accounting information, international trade and finance, industrial organization, strategic behavior, market structure, financial contracts, corporate governance, capital markets, and financial institutions. The journal welcomes contributions related to the Asia Pacific region, and targets top quality research from scholars with diverse regional interests. The editors encourage submission of high quality manuscripts with innovative ideas. The editorial team is committed to an expedient review process.