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      KCI등재 SCOPUS

      Realized FX Volatility : Statistical Properties and Applications

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      https://www.riss.kr/link?id=A105121472

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      다국어 초록 (Multilingual Abstract)

      This paper empirically examines the statistical properties of realized volatility and the relationships between volatility and correlation measurements of realized volatility by using intraday high-frequency foreign exchange (FX) rates. Results regarding the distributional and dynamic properties of realized volatility are in agreement with the findings of previous studies. However, the positive correlation present in previous studies is not found in the case of JPY. On trading days with low volatility in the FX market, realized correlation coefficients between JPY and other currencies have positive values, while realized correlation coefficients on trading days with high volatility show negative values. These results are due to the Japanese government's intervention in the FX market, particularly during trading days with high volatility. In this regard, our results suggest that the positive relationships between volatility and correlations verified in previous studies are not a general phenomenon in the case of government intervention and government intervention may distort the efficiency of the FX market. In addition, we show that the multivariate measurement of realized volatility based on intraday high-frequency data can be a useful tool for determining the occurrence of external intervention in the FX market.
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      This paper empirically examines the statistical properties of realized volatility and the relationships between volatility and correlation measurements of realized volatility by using intraday high-frequency foreign exchange (FX) rates. Results regard...

      This paper empirically examines the statistical properties of realized volatility and the relationships between volatility and correlation measurements of realized volatility by using intraday high-frequency foreign exchange (FX) rates. Results regarding the distributional and dynamic properties of realized volatility are in agreement with the findings of previous studies. However, the positive correlation present in previous studies is not found in the case of JPY. On trading days with low volatility in the FX market, realized correlation coefficients between JPY and other currencies have positive values, while realized correlation coefficients on trading days with high volatility show negative values. These results are due to the Japanese government's intervention in the FX market, particularly during trading days with high volatility. In this regard, our results suggest that the positive relationships between volatility and correlations verified in previous studies are not a general phenomenon in the case of government intervention and government intervention may distort the efficiency of the FX market. In addition, we show that the multivariate measurement of realized volatility based on intraday high-frequency data can be a useful tool for determining the occurrence of external intervention in the FX market.

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      참고문헌 (Reference)

      1 Hattori, M., "Yen Carry Trade and the Subprime Crisis" 56 (56): 384-409, 2009

      2 Schwert, G. W., "Why does Stock Market Volatility Change Over Time?" 44 : 115-1153, 1989

      3 Mandelbrot, B. B., "The Variation of Certain Speculative Prices" 36 : 394-419, 1963

      4 Black, F., "The Pricing of Options and Corporate Liabilities" 81 (81): 637-654, 1973

      5 Watanabe, T., "The Great Intervention and Massive Money Injection : The Japanese Experience 2003~2004" 2011

      6 Andersen, T. G., "The Distribution of Realized Stock Return Volatility" 61 : 43-76, 2001

      7 Andersen, T. G., "The Distribution of Realized Exchange Rate Volatility" 96 : 42-55, 2001

      8 Fama, E., "The Behaviour of Stock Market Prices" 38 : 34-105, 1965

      9 Rosenblatt, M., "Remarks on Some Nonparametric Estimates of a Density Function" 27 : 832-837, 1956

      10 Markowitz, H., "Portfolio Selection" 7 (7): 77-91, 1952

      1 Hattori, M., "Yen Carry Trade and the Subprime Crisis" 56 (56): 384-409, 2009

      2 Schwert, G. W., "Why does Stock Market Volatility Change Over Time?" 44 : 115-1153, 1989

      3 Mandelbrot, B. B., "The Variation of Certain Speculative Prices" 36 : 394-419, 1963

      4 Black, F., "The Pricing of Options and Corporate Liabilities" 81 (81): 637-654, 1973

      5 Watanabe, T., "The Great Intervention and Massive Money Injection : The Japanese Experience 2003~2004" 2011

      6 Andersen, T. G., "The Distribution of Realized Stock Return Volatility" 61 : 43-76, 2001

      7 Andersen, T. G., "The Distribution of Realized Exchange Rate Volatility" 96 : 42-55, 2001

      8 Fama, E., "The Behaviour of Stock Market Prices" 38 : 34-105, 1965

      9 Rosenblatt, M., "Remarks on Some Nonparametric Estimates of a Density Function" 27 : 832-837, 1956

      10 Markowitz, H., "Portfolio Selection" 7 (7): 77-91, 1952

      11 Ljung, G. M., "On a Measure of a Lack of Fit in Time Series Models" 65 : 297-303, 1978

      12 Andersen, T. G., "Modeling and Forecasting Realized Volatility" 71 : 579-625, 2003

      13 Bank of Japan, "Introduction of the Quantitative and Qualitative Monetary Easing"

      14 Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity" 31 : 307-327, 1986

      15 French, K. R., "Expected Stock Returns and Volatility" 19 : 3-29, 1987

      16 Cont, R., "Empirical Properties of Asset Returns : Stylized Facts and Statistical Issues" 1 : 223-236, 2001

      17 Barndorff-Nielsen, O. E., "Econometric analysis of realized volatility and its use in estimating stochastic volatility models" 64 : 253-280, 2002

      18 Sharpe, W. F., "Capital Asset Prices : A Theory of Market Equilibrium under Conditions of Risk" 19 (19): 425-442, 1964

      19 Engle, R. F., "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation" 50 : 987-1008, 1982

      20 Andersen, T. G., "Answering the Skeptics : YES, Standard Volatility Models do Provide Accurate Forecasts" 39 (39): 885-905, 1998

      21 Chaboud, A. P., "An Assessment of the Impact of Japanese Foreign Exchange Intervention : 1991~2004" 2005

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2027 평가예정 재인증평가 신청대상 (재인증)
      2021-01-01 평가 등재학술지 유지 (재인증) KCI등재
      2020-01-01 학술지명변경 외국어명 : Korean Journal of Futures and Options -> Journal of Derivatives and Quantitative Studies KCI등재
      2018-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2015-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2011-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2009-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2008-06-26 학회명변경 한글명 : 한국선물학회 -> 한국파생상품학회
      영문명 : Korean Association Of Futures And Options -> Korea Derivatives Association
      KCI등재
      2008-01-01 평가 등재 1차 FAIL (등재유지) KCI등재
      2005-05-03 학술지등록 한글명 : 선물연구
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      2004-01-01 평가 등재후보 1차 PASS (등재후보1차) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.56 0.56 0.65
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.63 0.7 1.199 0.17
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