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Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility

✍ Scribed by Cheng, Ai-ru (Meg); Das, Kuntal; Shimatani, Takeshi

Book ID
121487359
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
560 KB
Volume
28
Category
Article
ISSN
1049-0078

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## Abstract We analyse the relationship between interventions and volatility at daily and intra‐daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bi‐power variation to decompose this volatility into a continuously