Cheng, Ai-ru; Das, Kuntal; Shimatani, Takeshi - In: Journal of Asian Economics 28 (2013) C, pp. 87-98
This paper presents new empirical evidence on the effectiveness of Bank of Japan's foreign exchange interventions on the daily realized volatility of USD/JPY exchange rates using high frequency data. Following Huang and Tauchen (2005) and Barndorff-Nielsen and Shephard (2004, 2006), we use...