Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - In: Journal of International Financial Markets, … 19 (2009) 3, pp. 490-505
We use realized volatility to study the influence of Japanese central bank interventions on the yen-to-dollar exchange rate. A system of equations for returns, logarithmic realized volatility, and interventions provides a comprehensive view on the problem without endogeneity bias, unlike earlier...