While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous research on foreign exchange intervention, unsterilized...

Mean reversion, volatility persistence, long memory, time scales, stochastic volatility, GARCH, spurious long memory. - I discuss mean reversion in the first and the second moment of the return distribution. After a discussion of the concepts and a summary of the findings in the literature, I...

We study the simultaneous occurrence of long memory and nonlinear effects, such as structural breaks and thresholds, in autoregressive moving average (ARMA) time series models and apply our modeling framework to series of daily realized volatility. Asymptotic theory for the quasi-maximum...

While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous research on foreign exchange intervention, unsterilized...

We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that...